Solving algorithm for combinatorical OP (Multidimensional knapsack) - algorithm

I have created the following mathematical abstraction for an optimisation problem.
O - Order
C - customer
P - Producer
S - Productionslot(related to producer)
pc - Productioncost per slot
tc - Transportcost for an order produceded in a specific slot
a - Productamount per order
ca - Slotcapacity
e - Endtime of a slot
dt - Latest order arrival time
tt - Transporttime
Decisionvariables:
x - Produce in a specific slot
y - Produce an order in an specific slot
The following cost function has to be minimised:
Meaning each order has to been processed in one production slot. Depending on the producer connected to this slot and its distance to the customer transportcost arise. If at least one order is produced in an slot, some sort of fixed cost for this production will occure. The aggregated sum of this costs should be minimised.
The following conditions apply:
This optimisation has to been repeated every day, with a different set of orders(o and a will vary).
Each producer will have 4 to 5 slots he produces in. The number of producers is 20. Orders are round about 100.
The last condition can be used to reduce the problem in advance. Meaning set all y's to 0 where the arrival time can not be reached, because arrival time is before productionend time plus transport time.
As far as I can see this problem and its size can not be easy used be just iterating through all feasible solutions. Even if you use condition 2 to reduced the combinations of "y" strongly, I will be left with approximately (5*20)^200 solutions to check(assign each order to each slot and check all combinations of order associations with respect to rest condtion fulfillment and cost function value).
If I do some mathematical operations I can form the problem to look pretty close to an Multidimensional Knapsack problem.
E.g.
- multiplie the objective function by -1 to have a max problem.
- Split condition 2 in two conditions to get less equal conditions(multiply the greater than with -1 as well)
- Move the capacity term in condition 3 to the left side
But these operations lead to partly negative coefficient. Algorithms found in the literature to approach the MDK often assume them to be positiv, is that a problem?
Has someone a good branch and bound approach to capture the problem? Or do I have to use I Metaheuristic as often propossed in literature, and has someone used a specific approach to solve a similar problem before to tell me about his/her experience?
Has someone other moddeling tricks to reduce the problem complexity in the given situation.

Related

Optimize event seat assignments with Corona restrictions

Problem:
Given a set of group registrations, each for a varying number of people (1-7),
and a set of seating groups (immutable, at least 2m apart) varying from 1-4 seats,
I'd like to find the optimal assignment of people groups to seating groups:
People groups may be split among several seating groups (though preferably not)
Seating groups may not be shared by different people groups
(optional) the assignment should minimize the number of 'wasted' seats, i.e. maximize the number of seats in empty seating groups
(ideally it should run from within a Google Apps script, so memory and computational complexity should be as small as possible)
First attempt:
I'm interested in the decision problem (is it feasible?) as well as the optimization problem (see optional optimization function). I've modeled it as a SAT problem, but this does not find an optimal solution.
For this reason, I've tried to model it as an optimization problem. I'm thinking along the lines of a (remote) variation of multiple-knapsack, but I haven't been able to name it yet:
items: seating groups (size -> weight)
knapsacks: people groups (size -> container size)
constraint: combined item weight >= container size
optimization: minimize the number of items
As you can see, the constraint and optimization are inverted compared to the standard problem. So my question is: Am I on the right track here or would you go about it another way? If it's correct, does this optimization problem have a name?
You could approach this as an Integer Linear Programming Problem, defined as follows:
let P = the set of people groups, people group i consists of p_i people;
let T = the set of tables, table j has t_j places;
let x_ij be 1 if people from people group i are placed at table j, 0 otherwise
let M be a large penalty factor for empty seats
let N be a large penalty factor for splitting groups
// # of free spaces = # unavailable - # occupied
// every time a group uses more than one table,
// a penalty of N * (#tables - 1) is incurred
min M * [SUM_j(SUM_i[x_ij] * t_j) - SUM_i(p_i)] + N * SUM_i[(SUM_j(x_ij) - 1)]
// at most one group per table
s.t. SUM_i(x_ij) <= 1 for all j
// every group has enough seats
SUM_j(x_ij * t_j) = p_i for all i
0 <= x_ij <= 1
Although this minimises the number of empty seats, it does not minimise the number of tables used or maximise the number of groups admitted. If you'd like to do that, you could expand the objective function by adding a penalty for every group turned away.
ILPs are NP-hard, so without the right solvers, it might not be possible to make this run with Google Apps. I have no experience with that, so I'm afraid I can't help you. But there are some methods to reduce your search space.
One would be through something called column generation. Here, the problem is split into two parts. The complex master problem is your main research question, but instead of the entire solution space, it tries to find the optimum from different candidate assignments (or columns).
The goal is then to define a subproblem that recommends these new potential solutions that are then incorporated in the master problem. The power of a good subproblem is that it should be reducable to a simpler model, like Knapsack or Dijkstra.

Variation to the Set-Covering Prob (Maybe an Activity Selection Prob)

Everyday from 9am to 5pm, I am supposed to have at least one person at the factory supervising the workers and make sure that nothing goes wrong.
There are currently n applicants to the job, and each of them can work from time si to time ci, i = 1, 2, ..., n.
My goal is to minimize the time that more than two people are keeping watch of the workers at the same time.
(The applicants' available working hours are able to cover the time period from 9am to 5pm.)
I have proved that at most two people are needed for any instant of time to fulfill my needs, but how should I get from here to the final solution?
Finding the time periods where only one person is available for the job and keeping them is my first step, but finding the next step is what troubles me... .
The algorithm must run in polynomial-time.
Any hints(a certain type of data structure maybe?) or references are welcome. Many thanks.
I think you can do this with dynamic programming by solving the sub-problem:
What is the minimum overlap time given that applicant i is the last worker and we have covered all times from start of day up to ci?
Call this value of the minimum overlap time cost(i).
You can compute the value of cost(i) by considering cases:
If si is equal to the start of day, then cost(i) = 0 (no overlap is required)
Otherwise, consider all previous applicants j. Set cost(i) to the minimum of cost(j)+overlap between i and j. Also set prev(i) to the value of j that attains the minimum.
Then the answer to your problem is given by the minimum of cost(k) for all values of k where ck is equal to the end of the day. You can work out the correct choice of people by backtracking using the values of prev.
This gives an O(n^2) algorithm.

Trying to gain intuition for work scheduling greedy algorithm

I have the following scenario: (since I don't know of a way to show LaTeX, here's a screenshot)
I'm having some trouble conceptualizing what's going on here. If I were to program this, I would probably attempt to structure this as some kind of heap where each node represents a worker, from earliest-to-latest, then run Prim's/Kruskal's algorithm on it. I don't know if I'm on the right track with that idea, but I need to flesh out my understanding of this problem so I can do the following:
Describe in detail the greedy choice
Show that if there's an optimal solution for which the greedy choice was not made, then an exchange can be made to conform with the greedy choice
Know how to implement a greedy algorithm solution, and its running time
So where should I be going with this idea?
This problem is very similar in nature to "Roster Scheduling problems." Think of the committee as say a set of 'supervisors' and you want to have a supervisor present, whenever a worker is present. In this case, the supervisor comes from the same set as the workers.
Here are some modeling ideas, and an Integer Programming formulation.
Time Slicing Idea
This sounds like a bad idea initially, but works really well in practice. We are going to create a lot of "time instants" T i from the start time of the first shift, to the end time of the very last shift. It sometimes helps to think of
T1, T2, T3....TN as being time instants (say) five minutes apart. For every Ti at least one worker is working on a shift. Therefore, that time instant has be be covered (Coverage means there has to be at least one member of the committee also working at time Ti.)
We really need to only worry about 2n Time instants: The start and finish times of each of the n workers.
Coverage Property Requirement
For every time instant Ti, we want a worker from the Committee present.
Let w1, w2...wn be the workers, sorted by their start times s_i. (Worker w1 starts the earliest shift, and worker wn starts the very last shift.)
Introduce a new Indicator variable (boolean):
Y_i = 1 if worker i is part of the committeee
Y_i = 0 otherwise.
Visualization
Now think of a 0-1 matrix, where the rows are the SORTED workers, and the columns are the time instants...
Construct a Time-Worker Matrix (0/1)
t1 t2 t3 t4 t5 t6 ... tN
-------------------------------------------
w1 1 1
w2 1 1
w3 1 1 1
w4 1 1 1
...
...
wn 1 1 1 1
-------------------------------------------
Total 2 4 3 ... ... 1 2 4 5
So the problem is to make sure that for each column, at least 1 worker is Selected to be part of the committee. The Total shows the number of candidates for the committee at each Time instant.
An Integer Programming based formulation
Objective: Minimize Sum(Y_i)
Subject to:
Y1 + Y2 >= 1 # coverage for time t1
Y1 + Y2 + Y3 >= 1 # coverage for time t2
...
More generally, the constraints are:
# Set Covering constraint for time T_i
Sum over all worker i's that are working at time t_i (Y_i) >= 1
Y_i Binary for all i's
Preprocessing
This Integer program, if attempted without preprocessing can be very difficult, and end up choking the solvers. But in practice there are quite a number of preprocessing ideas that can help immensely.
Make any forced assignments. (If ever there is a time instant with only one
worker working, that worker has to be in the committee ∈ C)
Separate into nice subproblems. Look at the time-worker Matrix. If there are nice 'rectangles' in it that can be cut out without
impacting any other time instant, then that is a wholly separate
sub-problem to solve. Makes the solver go much, much faster.
Identical shifts - If lots of workers have the exact same start and end times, then you can simply choose ANY one of them (say, the
lexicographically first worker, WLOG) and remove all the other workers from
consideration. (Makes a ton of difference in real life situations.)
Dominating shifts: If one worker starts before and stays later than any other worker, the 'dominating' worker can stay, all the
'dominated' workers can be removed from consideration for C.
All the identical rows (and columns) in the time-worker Matrix can be fused. You need to only keep one of them. (De-duping)
You could throw this into an IP solver (CPLEX, Excel, lp_solve etc.) and you will get a solution, if the problem size is not an issue.
Hope some of these ideas help.

Distance Calculation for massive number of devices/nodes Part 2

This question is an enhancement to the previous SO question.
Distance Calculation for massive number of devices/nodes
I have N mobile devices/nodes (say 100K) and I periodically obtain their location ( latitude , longtitude ) values.
Some of the devices are "logically connected" to roughly M other devices (say 10 in average). My program periodically compares the distance between the each device and its logically connected devices and determines if the distance is within a threshold (say 100 meters).
Furthermore number of logical connections "K" can also be more then one and (say 5 in average)
Example is A can be connected to B,C for i.e. "parents" logic. A can also be connected to C,D,E,F for "work" logic
I need a robust algorithm to calculate these distances to the logically connected devices.
The complexity order of brute force approach would be NMK or (Θ3 in terms of order)
The program does this every 3 seconds (all devices are mobile), thus for instance 100K*10*5 = 5M calculations every 3 seconds is not good.
Any good/classical algorithms for this operation ?
I decided to rewrite my answer after a bit more thought.
The complexity of your problem is not O(N^3) in the worst case, it is actually only O(N^2) in the worst case. It's also not O(N*M*K) but rather O(N*(M+K)), where O(M+K) is O(N). However, the real complexity of your problem is O(E) where E is the total number of logical connections (number of work connections + number of parent connections). Unless you want to approximate, your solution cannot be better than O(E). Your averages suggest that you likely have on the order of 5 million connections, which is on the order of O(N log N).
You example uses two sets of logical connections. So you would simply cycle through each set and check if distance between the devices of the logical connection is within the threshold.
That being said, the example you gave and your assumed time complexity suggests you are interested in more than just if the individual connections are within threshold, but rather if sets of connections are within threshold. Specifically, in your example it would return True if parents logic: (A,B), (A,C) and Work logic (A,C),(A,D),(A,E),(A,F) are all True. In which case your best data structure would be a dictionary of dictionaries that looks like the following in Python (includes the optimization below):
"parentsLogic[A][B] = (last position A, last position B, was within threshold)".
If it's common that the positions don't change much, you may obtain some run-time improvement by storing the previous positions and if they were within the threshold or not (Boolean). The benefit is that you can simply return the previous result if the two positions haven't changed and updating them if they have changed.
You can use a brute force algorithm and sort the result then use the top best groups.
One thing you can do in addition to what was suggested in the answers to the previous question is to store a list of the nearby connected devices for every device and update it only for those devices that have moved by a significant distance since last update (and for the devices connected to those that have moved).
For example, if the threshold is 100 m, store a list of the connected devices within 200 m of every device, and update it for every device that has moved more than by 50 m since last update.

Expectation Maximization coin toss examples

I've been self-studying the Expectation Maximization lately, and grabbed myself some simple examples in the process:
http://cs.dartmouth.edu/~cs104/CS104_11.04.22.pdf
There are 3 coins 0, 1 and 2 with P0, P1 and P2 probability landing on Head when tossed. Toss coin 0, if the result is Head, toss coin 1 three times else toss coin 2 three times. The observed data produced by coin 1 and 2 is like this: HHH, TTT, HHH, TTT, HHH. The hidden data is coin 0's result. Estimate P0, P1 and P2.
http://ai.stanford.edu/~chuongdo/papers/em_tutorial.pdf
There are two coins A and B with PA and PB being the probability landing on Head when tossed. Each round, select one coin at random and toss it 10 times then record the results. The observed data is the toss results provided by these two coins. However, we don't know which coin was selected for a particular round. Estimate PA and PB.
While I can get the calculations, I can't relate the ways they are solved to the original EM theory. Specifically, during the M-Step of both examples, I don't see how they're maximizing anything. It just seems they are recalculating the parameters and somehow, the new parameters are better than the old ones. Moreover, the two E-Steps don't even look similar to each other, not to mention the original theory's E-Step.
So how exactly do these example work?
The second PDF won't download for me, but I also visited the wikipedia page http://en.wikipedia.org/wiki/Expectation%E2%80%93maximization_algorithm which has more information. http://melodi.ee.washington.edu/people/bilmes/mypapers/em.pdf (which claims to be a gentle introduction) might be worth a look too.
The whole point of the EM algorithm is to find parameters which maximize the likelihood of the observed data. This is the only bullet point on page 8 of the first PDF, the equation for capital Theta subscript ML.
The EM algorithm comes in handy where there is hidden data which would make the problem easy if you knew it. In the three coins example this is the result of tossing coin 0. If you knew the outcome of that you could (of course) produce an estimate for the probability of coin 0 turning up heads. You would also know whether coin 1 or coin 2 was tossed three times in the next stage, which would allow you to make estimates for the probabilities of coin 1 and coin 2 turning up heads. These estimates would be justified by saying that they maximized the likelihood of the observed data, which would include not only the results that you are given, but also the hidden data that you are not - the results from coin 0. For a coin that gets A heads and B tails you find that the maximum likelihood for the probability of A heads is A/(A+B) - it might be worth you working this out in detail, because it is the building block for the M step.
In the EM algorithm you say that although you don't know the hidden data, you come in with probability estimates which allow you to write down a probability distribution for it. For each possible value of the hidden data you could find the parameter values which would optimize the log likelihood of the data including the hidden data, and this almost always turns out to mean calculating some sort of weighted average (if it doesn't the EM step may be too difficult to be practical).
What the EM algorithm asks you to do is to find the parameters maximizing the weighted sum of log likelihoods given by all the possible hidden data values, where the weights are given by the probability of the associated hidden data given the observations using the parameters at the start of the EM step. This is what almost everybody, including the Wikipedia algorithm, calls the Q-function. The proof behind the EM algorithm, given in the Wikipedia article, says that if you change the parameters so as to increase the Q-function (which is only a means to an end), you will also have changed them so as to increase the likelihood of the observed data (which you do care about). What you tend to find in practice is that you can maximize the Q-function using a variation of what you would do if you know the hidden data, but using the probabilities of the hidden data, given the estimates at the start of the EM-step, to weight the observations in some way.
In your example it means totting up the number of heads and tails produced by each coin. In the PDF they work out P(Y=H|X=) = 0.6967. This means that you use weight 0.6967 for the case Y=H, which means that you increment the counts for Y=H by 0.6967 and increment the counts for X=H in coin 1 by 3*0.6967, and you increment the counts for Y=T by 0.3033 and increment the counts for X=H in coin 2 by 3*0.3033. If you have a detailed justification for why A/(A+B) is a maximum likelihood of coin probabilities in the standard case, you should be ready to turn it into a justification for why this weighted updating scheme maximizes the Q-function.
Finally, the log likelihood of the observed data (the thing you are maximizing) gives you a very useful check. It should increase with every EM step, at least until you get so close to convergence that rounding error comes in, in which case you may have a very small decrease, signalling convergence. If it decreases dramatically, you have a bug in your program or your maths.
As luck would have it, I have been struggling with this material recently as well. Here is how I have come to think of it:
Consider a related, but distinct algorithm called the classify-maximize algorithm, which we might use as a solution technique for a mixture model problem. A mixture model problem is one where we have a sequence of data that may be produced by any of N different processes, of which we know the general form (e.g., Gaussian) but we do not know the parameters of the processes (e.g., the means and/or variances) and may not even know the relative likelihood of the processes. (Typically we do at least know the number of the processes. Without that, we are into so-called "non-parametric" territory.) In a sense, the process which generates each data is the "missing" or "hidden" data of the problem.
Now, what this related classify-maximize algorithm does is start with some arbitrary guesses at the process parameters. Each data point is evaluated according to each one of those parameter processes, and a set of probabilities is generated-- the probability that the data point was generated by the first process, the second process, etc, up to the final Nth process. Then each data point is classified according to the most likely process.
At this point, we have our data separated into N different classes. So, for each class of data, we can, with some relatively simple calculus, optimize the parameters of that cluster with a maximum likelihood technique. (If we tried to do this on the whole data set prior to classifying, it is usually analytically intractable.)
Then we update our parameter guesses, re-classify, update our parameters, re-classify, etc, until convergence.
What the expectation-maximization algorithm does is similar, but more general: Instead of a hard classification of data points into class 1, class 2, ... through class N, we are now using a soft classification, where each data point belongs to each process with some probability. (Obviously, the probabilities for each point need to sum to one, so there is some normalization going on.) I think we might also think of this as each process/guess having a certain amount of "explanatory power" for each of the data points.
So now, instead of optimizing the guesses with respect to points that absolutely belong to each class (ignoring the points that absolutely do not), we re-optimize the guesses in the context of those soft classifications, or those explanatory powers. And it so happens that, if you write the expressions in the correct way, what you're maximizing is a function that is an expectation in its form.
With that said, there are some caveats:
1) This sounds easy. It is not, at least to me. The literature is littered with a hodge-podge of special tricks and techniques-- using likelihood expressions instead of probability expressions, transforming to log-likelihoods, using indicator variables, putting them in basis vector form and putting them in the exponents, etc.
These are probably more helpful once you have the general idea, but they can also obfuscate the core ideas.
2) Whatever constraints you have on the problem can be tricky to incorporate into the framework. In particular, if you know the probabilities of each of the processes, you're probably in good shape. If not, you're also estimating those, and the sum of the probabilities of the processes must be one; they must live on a probability simplex. It is not always obvious how to keep those constraints intact.
3) This is a sufficiently general technique that I don't know how I would go about writing code that is general. The applications go far beyond simple clustering and extend to many situations where you are actually missing data, or where the assumption of missing data may help you. There is a fiendish ingenuity at work here, for many applications.
4) This technique is proven to converge, but the convergence is not necessarily to the global maximum; be wary.
I found the following link helpful in coming up with the interpretation above: Statistical learning slides
And the following write-up goes into great detail of some painful mathematical details: Michael Collins' write-up
I wrote the below code in Python which explains the example given in your second example paper by Do and Batzoglou.
I recommend that you read this link first for a clear explanation of how and why the 'weightA' and 'weightB' in the code below are obtained.
Disclaimer : The code does work but I am certain that it is not coded optimally. I am not a Python coder normally and have started using it two weeks ago.
import numpy as np
import math
#### E-M Coin Toss Example as given in the EM tutorial paper by Do and Batzoglou* ####
def get_mn_log_likelihood(obs,probs):
""" Return the (log)likelihood of obs, given the probs"""
# Multinomial Distribution Log PMF
# ln (pdf) = multinomial coeff * product of probabilities
# ln[f(x|n, p)] = [ln(n!) - (ln(x1!)+ln(x2!)+...+ln(xk!))] + [x1*ln(p1)+x2*ln(p2)+...+xk*ln(pk)]
multinomial_coeff_denom= 0
prod_probs = 0
for x in range(0,len(obs)): # loop through state counts in each observation
multinomial_coeff_denom = multinomial_coeff_denom + math.log(math.factorial(obs[x]))
prod_probs = prod_probs + obs[x]*math.log(probs[x])
multinomial_coeff = math.log(math.factorial(sum(obs))) - multinomial_coeff_denom
likelihood = multinomial_coeff + prod_probs
return likelihood
# 1st: Coin B, {HTTTHHTHTH}, 5H,5T
# 2nd: Coin A, {HHHHTHHHHH}, 9H,1T
# 3rd: Coin A, {HTHHHHHTHH}, 8H,2T
# 4th: Coin B, {HTHTTTHHTT}, 4H,6T
# 5th: Coin A, {THHHTHHHTH}, 7H,3T
# so, from MLE: pA(heads) = 0.80 and pB(heads)=0.45
# represent the experiments
head_counts = np.array([5,9,8,4,7])
tail_counts = 10-head_counts
experiments = zip(head_counts,tail_counts)
# initialise the pA(heads) and pB(heads)
pA_heads = np.zeros(100); pA_heads[0] = 0.60
pB_heads = np.zeros(100); pB_heads[0] = 0.50
# E-M begins!
delta = 0.001
j = 0 # iteration counter
improvement = float('inf')
while (improvement>delta):
expectation_A = np.zeros((5,2), dtype=float)
expectation_B = np.zeros((5,2), dtype=float)
for i in range(0,len(experiments)):
e = experiments[i] # i'th experiment
ll_A = get_mn_log_likelihood(e,np.array([pA_heads[j],1-pA_heads[j]])) # loglikelihood of e given coin A
ll_B = get_mn_log_likelihood(e,np.array([pB_heads[j],1-pB_heads[j]])) # loglikelihood of e given coin B
weightA = math.exp(ll_A) / ( math.exp(ll_A) + math.exp(ll_B) ) # corresponding weight of A proportional to likelihood of A
weightB = math.exp(ll_B) / ( math.exp(ll_A) + math.exp(ll_B) ) # corresponding weight of B proportional to likelihood of B
expectation_A[i] = np.dot(weightA, e)
expectation_B[i] = np.dot(weightB, e)
pA_heads[j+1] = sum(expectation_A)[0] / sum(sum(expectation_A));
pB_heads[j+1] = sum(expectation_B)[0] / sum(sum(expectation_B));
improvement = max( abs(np.array([pA_heads[j+1],pB_heads[j+1]]) - np.array([pA_heads[j],pB_heads[j]]) ))
j = j+1
The key to understanding this is knowing what the auxiliary variables are that make estimation trivial. I will explain the first example quickly, the second follows a similar pattern.
Augment each sequence of heads/tails with two binary variables, which indicate whether coin 1 was used or coin 2. Now our data looks like the following:
c_11 c_12
c_21 c_22
c_31 c_32
...
For each i, either c_i1=1 or c_i2=1, with the other being 0. If we knew the values these variables took in our sample, estimation of parameters would be trivial: p1 would be the proportion of heads in samples where c_i1=1, likewise for c_i2, and \lambda would be the mean of the c_i1s.
However, we don't know the values of these binary variables. So, what we basically do is guess them (in reality, take their expectation), and then update the parameters in our model assuming our guesses were correct. So the E step is to take the expectation of the c_i1s and c_i2s. The M step is to take maximum likelihood estimates of p_1, p_2 and \lambda given these cs.
Does that make a bit more sense? I can write out the updates for the E and M step if you prefer. EM then just guarantees that by following this procedure, likelihood will never decrease as iterations increase.

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