A Parallel Algorithm for Matheuristics: A Comparison of Optimization Solvers

Abstract

Metaheuristic and exact methods are one of the most common tools to solve Mixed-Integer Optimization Problems (MIPs). Most of these problems are NP-hard problems, being intractable to obtain optimal solutions in a reasonable time when the size of the problem is huge. In this paper, a hybrid parallel optimization algorithm for matheuristics is studied. In this algorithm, exact and metaheuristic methods work together to solve a Mixed Integer Linear Programming (MILP) problem which is divided into two different subproblems, one of which is linear (and easier to solve by exact methods) and the other discrete (and is solved using metaheuristic methods). Even so, solving this problem has a high computational cost. The algorithm proposed follows an efficient decomposition which is based on the nature of the decision variables (continuous versus discrete). Because of the high cost of the algorithm, as this kind of problem belongs to NP-hard problems, parallelism techniques have been incorporated at different levels to reduce the computing cost. The matheuristic has been optimized both at the level of the problem division and internally. This configuration offers the opportunity to improve the computational time and the fitness function. The paper also focuses on the performance of different optimization software packages working in parallel. In particular, a comparison of two well-known optimization software packages (CPLEX and GUROBI) is performed when they work executing several simultaneous instances, solving various problems at the same time. Thus, this paper proposes and studies a two-level parallel algorithm based on message-passing (MPI) and shared memory (Open MP) schemes where the two subproblems are considered and where the linear problem is solved by using and studying optimization software packages (CPLEX and GUROBI). Experiments have also been carried out to ascertain the performance of the application using different programming paradigms (shared memory and distributed memory).

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