SLIDE 30 LP Pricing goal and setup
Maximize LP throughput ⇔ discover and select the LP pricing with minimum expected running time τ ∗
p , p ∈ {devex, steep, qsteep}
Problem for UCB: Need [0, 1] score to maximize Solution: Scale the (normalized) reward
- Let τt,p be the measured running time for pricer p at step t
- Use reward rt,p =
1 1+ τt,p ¯ τp
for UCB 1st alternative: UCB variant (shiħted greedy) (thanks to Tobias Achterberg)
- select a favorite pricer, w.l.o.g. p1
- use shiħt vector σ ∈ R+
P σp1 = 100, σp = 50 for p ̸= p1
- always start with p1 for a couple of resolves
- only start selection process if average iterations of p1 exceed a threshold, e.g., 20.
- always select the pricer that minimizes
¯ τ σ
p =
∑
t 1pt=pτt,p
Tp(t − 1) + σp 2nd alternative: Turn shiħted greedy weights into weighted sampling weights
- compute shiħted version of average as in shiħted greedy
- sample from weight distribution wp t
1 p 10 4
Gregor Hendel, Matthias Miltenberger, Jakob Witzig – Adaptive algorithms for MIP 15/26