Learning Cut Selection for Mixed-Integer Linear Programming via Hierarchical Sequence Model
This work addresses the efficiency of solving MILPs, which are used in real-world applications like logistics and scheduling, by learning data-driven cut selection policies, representing an incremental advance over existing learning-based methods.
The paper tackles the problem of cut selection in mixed-integer linear programming (MILP) by proposing a hierarchical sequence model (HEM) that learns policies for selecting cuts, including their number and order, via reinforcement learning. Experiments show HEM significantly improves solving efficiency over baselines on synthetic and real-world datasets, such as MIPLIB 2017, and generalizes to larger MILPs than seen in training.
Cutting planes (cuts) are important for solving mixed-integer linear programs (MILPs), which formulate a wide range of important real-world applications. Cut selection -- which aims to select a proper subset of the candidate cuts to improve the efficiency of solving MILPs -- heavily depends on (P1) which cuts should be preferred, and (P2) how many cuts should be selected. Although many modern MILP solvers tackle (P1)-(P2) by manually designed heuristics, machine learning offers a promising approach to learn more effective heuristics from MILPs collected from specific applications. However, many existing learning-based methods focus on learning which cuts should be preferred, neglecting the importance of learning the number of cuts that should be selected. Moreover, we observe from extensive empirical results that (P3) what order of selected cuts should be preferred has a significant impact on the efficiency of solving MILPs as well. To address this challenge, we propose a novel hierarchical sequence model (HEM) to learn cut selection policies via reinforcement learning. Specifically, HEM consists of a two-level model: (1) a higher-level model to learn the number of cuts that should be selected, (2) and a lower-level model -- that formulates the cut selection task as a sequence to sequence learning problem -- to learn policies selecting an ordered subset with the size determined by the higher-level model. To the best of our knowledge, HEM is the first method that can tackle (P1)-(P3) in cut selection simultaneously from a data-driven perspective. Experiments show that HEM significantly improves the efficiency of solving MILPs compared to human-designed and learning-based baselines on both synthetic and large-scale real-world MILPs, including MIPLIB 2017. Moreover, experiments demonstrate that HEM well generalizes to MILPs that are significantly larger than those seen during training.