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New concave penalty functions for improving the Feasibility Pump

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  • Marianna De Santis

    ()
    (Dipartimento di Informatica e Sistemistica "Antonio Ruberti" Sapienza, Universita' di Roma)

  • Stefano Lucidi

    ()
    (Dipartimento di Informatica e Sistemistica "Antonio Ruberti" Sapienza, Universita' di Roma)

  • Francesco Rinaldi

    ()
    (Dipartimento di Informatica e Sistemistica "Antonio Ruberti" Sapienza, Universita' di Roma)

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    Abstract

    Mixed-Integer optimization represents a powerful tool for modeling manyoptimization problems arising from real-world applications. The Feasibilitypump is a heuristic for finding feasible solutions to mixed integer linear problems. In this work, we propose a new feasibility pump approach using concave nondifferentiable penalty functions for measuring solution integrality. We present computational results on binary MILP problems from the MIPLIB library showing the effectiveness of our approach.

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    File URL: http://www.dis.uniroma1.it/~bibdis/RePEc/aeg/wpaper/2010-10.pdf
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    Bibliographic Info

    Paper provided by Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza" in its series DIS Technical Reports with number 2010-10.

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    Date of creation: 2010
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    Handle: RePEc:aeg:wpaper:2010-10

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    Keywords: Mixed integer programming; Concave penalty functions; Frank-Wolfe algorithm; Feasibility Pump;

    References

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    1. Robert M. Saltzman & Frederick S. Hillier, 1992. "A Heuristic Ceiling Point Algorithm for General Integer Linear Programming," Management Science, INFORMS, vol. 38(2), pages 263-283, February.
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    Cited by:
    1. Marianna De Santis & Stefano Lucidi & Francesco Rinaldi, 2010. "Feasibility Pump-Like Heuristics for Mixed Integer Problems," DIS Technical Reports 2010-15, Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza".
    2. Marianna De Santis & Francesco Rinaldi, 2010. "Continuous reformulations for zero-one programming problems," DIS Technical Reports 2010-16, Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza".

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