Machine Learning for K-adaptability in Two-stage Robust Optimization

Two-stage robust optimization problems constitute one of the hardest optimization problem classes.
One of the solution approaches to this class of problems is K-adaptability. This approach simultaneously 
seeks the best partitioning of the uncertainty set of scenarios into K subsets, and optimizes
decisions corresponding to each of these subsets. In general case, it is solved using the K-adaptability 
branch-and-bound algorithm, which requires exploration of exponentially-growing solution trees. To 
accelerate finding high-quality solutions in such trees, we propose a machine learning-based node 
selection strategy. In particular, we construct a feature engineering scheme based on general two-stage 
robust optimization insights that allows us to train our machine learning tool on a database of resolved 
B&B trees, and to apply it as-is to problems of different sizes and/or types. We experimentally show 
that using our learned node selection strategy outperforms a vanilla, random node selection strategy 
when tested on problems of the same type as the training problems, also in case the K-value or the 
problem size differs from the training ones.

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