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I used the Williams book in grad school and it provided context and motivation for MIP (mixed-integer) modeling, but for real-world MIP modeling, this guide fro
by wenc 5y ago
I used the Williams book in grad school and it provided context and motivation for MIP (mixed-integer) modeling, but for real-world MIP modeling, this guide from FICO is actually much better for practitioners.
This is the cheat sheet for MIP that I wished I had when I started out. It lays out all of the most useful MIP formulations in a simple and compact way.
https://www.msi-jp.com/xpress/learning/square/10-mipformref.pdf https://www.msi-jp.com/xpress/learning/square/10-mipformref....
- 7thaccount 5y agoThanks for the tip!
- wenc 5y agoJust throwing another tip out there: if you're finding yourself having to model anything mildly nonlinear, but find yourself shackled by the linearity constraints of a Mixed Integer Program (MIP), you can use a statistical/ML technique called MARS [1] to regress a piecewise-linear model from your nonlinear data to approximate said nonlinear function. MARS models are essentially models with constant or max functions as basis functions, e.g. y = a₀ + a₁ max(0, x − b₁) + a₂ max(0, x − b₂) + ... max(0,x) functions are very easy to model in MIPs. [1] https://en.wikipedia.org/wiki/Multivariate_adaptive_regression_spline https://en.wikipedia.org/wiki/Multivariate_adaptive_regressi...
- 7thaccount 5y agoI mostly just do LP & MIP (MILP), but will write this down in case I find a nonlinear need. Thank you!