Saturday, August 29, 2020

A Group Selection Problem

Someone posted an interesting question about nonlinear integer programming with grouped binary variables on Stack Overflow, and it drew multiple responses. The problem is simple to state. You have 52 binary variables $x_i$ partitioned into 13 groups of four each, with a requirement that exactly one variable in each group take the value 1. So the constraints are quite simple:

\begin{align*} x_{1}+\dots+x_{4} & =1\\ x_{5}+\dots+x_{8} & =1\\ \vdots\\ x_{49}+\dots+x_{52} & =1. \end{align*}

The objective function is a cubic function of the form

\[ \left(\alpha\sum_{i}a_{i}x_{i}\right)\times\left(\beta\sum_{j}b_{j}x_{j}+\beta_{0}\right)\times\left(\gamma\sum_{k}c_{k}x_{k}+\gamma_{0}\right) \] where $\alpha = 1166/2000$, $\beta = 1/2100$, $\beta_0 = 0.05$, $\gamma = 1/1500$ and $\gamma_0 = 1.5$. (In the original post, there is a minus sign in front of the function and the author minimizes; for various reasons I am omitting the minus sign and maximizing here.) Not only is the objective nonlinear, it is nonconvex if minimizing (nonconcave if maximizing). The author of the question was working in R.

Fellow blogger Erwin Kalvelagen solved the problem with a variety of nonlinear optimizers, obtaining a solution with objective value -889.346. Alex Fleischer of IBM posted an answer with the same objective value, using a constraint programming model written in OPL and solved with CP Optimizer.

My initial thought was to linearize the objective function by introducing continuous variables $y_{ij} = x_i \cdot x_j$ and $z_{ijk} = x_i \cdot x_j \cdot x_k$ with domain [0,1]. Many of those variables can be eliminated, due in part to symmetry ($y_{ij} = y_{ji}$, $z_{ijk} = z_{ikj}=\dots=z_{kji}$ and in part due to the observation that $y_{ii}=z_{iii}=x_i$. Also useful is that for $i<j<k$ $z_{ijk}=x_i \cdot y_{jk}$. I have an R notebook that you can download, in which I build the model using standard linearizations for the product of two binarys, then try to solve it with CPLEX using the Rcplex package (and the Matrix package, which allows a sparse representation of the constraint matrix). The results were, shall we say, unspectacular. With a five minute time limit (much longer than what Erwin or Alex needed), CPLEX found an incumbent with value 886.8748 (not bad but not optimal) and a rather dismal optimality gap of 146.5% (due mainly to a loose and slow moving bound).

Out of curiosity, I took a second shot using a genetic algorithm and the GA package for R. I was geeked to see that the GA package includes both an island model (using parallel processing) and a permutation variant (which lets me use permutations of the indices 1 to 52 as chromosomes with no extra work on my part). The permutation approach allows me to treat a chromosome as a prioritization of the 52 binary variables, which I decode into a solution $x$ by scanning the $x_i$ in priority order and setting each to 1 if and only none of the other variables in its group of four has been set to 1. That R notebook is also available for download.

As a metaheuristic, the GA does not offer a proof of optimality, and in fact may or may not find the optimal solution. With my inspired choice of random number seed (123), I matched Erwin's and Alex's solution (889.3463). The settings I used resulted in a run time of about 36 seconds on my PC, more than half of which was spent after the best solution had been found. It's still slower than what Erwin and Alex achieved, but it is a "pure R" solution, meaning it requires nothing besides open-source R packages.

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