Minimizing Entropy to Discover Good Solutions to Recurrent Mixed Integer Programs

Abstract: Current state-of-the-art solvers for mixed-integer programming (MIP) problems are designed to perform well on a wide range of problems. However, for many real-world use cases, problem instances come from a narrow distribution. This has motivated the development of specialized methods that can exploit the information in historical datasets to guide the design of heuristics. Recent works have shown that ML can be integrated with an MIP solver to inject domain knowledge and efficiently close the optimality gap. This hybridization is usually done with deep learning (DL), which requires a large dataset and extensive hyperparameter tuning to perform well. This paper proposes an online heuristic that uses the notion of entropy to efficiently build a model with minimal training data and tuning. We test our method on the locomotive assignment problem (LAP), a recurring real-world problem that is challenging to solve at scale. Experimental results show a speed up of an order of magnitude compared to a general purpose solver (CPLEX) with a relative gap of less than 2%. We also observe that for some instances our method can discover better solutions than CPLEX within the time limit.