The Operations Research Center offered a new course this IAP, 15.S60 SSIM: Software Tools for Operations Research. The course consisted of the following modules (as summarized by Iain Dunning here):
- introductory and advanced classes on R (Allison O’Hair, Andre Calmon, John Silberholz),
- data visualization (Virot Chiraphadhanakul),
- using Python for mathematical modelling (Iain Dunning),
- convex optimization (Vishal Gupta),
- distributed computing for optimization (John Silberholz),
- customizing integer programming solvers with callbacks (me).
The tutorial I gave has a self contained wiki that is available to the public here. Briefly, the tutorial covered the following topics for MIP:
- Good object oriented design for integer programming
- Separation over exponentially many constraints with User Cuts (UserCutCallback) and Lazy Constraints (LazyConstraintCallback)
- Giving CPLEX a starting solution (addMIPStart)
- Generating integer solutions during branch and bound with a construction heuristic (HeuristicCallback)
- Improving integer solutions found by CPLEX during branch and bound with an improvement heuristic (IncumbentCallback with HeuristicCallback)
- Profiling and testing for IP solvers
The traveling salesmen problem is used as a running example. The implementation uses the Java interface to CPLEX.