Multidimensional Variable Optimization: Exploring Optaplanner

[A.S.Shoukat Ghouse]

Hi,

I have been tasked to explore open source Optimization APIs. 

I am exploring Opta Planner but i have not found any practical example solving the below kind of problem.I have explored JOM ( Java Optimization Modeler) but have to give up due to lack of documentation and proper examples and support communities.

Trying to explore Opta Planner. Any inputs will be appreciated. Thanks in advance.

 

I have to solve the below objective function. Is this kind of multidimensional optimization possible in Opta Planner. Any examples i can refer to in the documentation >

Fj	Value (Fj)	pj	Value (pj)
F1	2400	p1	0.0003
F2	2500	p2	0.0022
F3	1500	p3	0.0129

 

 

Correctors-

 

		Fj
Ci	Value (Ci)	F1	F2	F3
C1	1600	0.6	0	0
C2	1500	0.65	0.65	0
C3	1500	1	1	1
C4	2000	1	0	1
C5	1500	0	0.6	0
Green color denotes:		w_ij

 

Unknown xij, to be solved through optimization:

	F1	F2	F3
C1	x11	x12	x13
C2	x21	x22	x23
C3	x31	x32	x33
C4	x41	x42	x43
C5	x51	x52	x53

[Geoffrey De Smet]

With kind regards,
Geoffrey De Smet

On 17/12/15 12:39, A.S.Shoukat Ghouse wrote:

Hi,

I have been tasked to explore open source Optimization APIs. 

I am exploring Opta Planner but i have not found any practical example solving the below kind of problem.I have explored JOM ( Java Optimization Modeler) but have to give up due to lack of documentation and proper examples and support communities.

Trying to explore Opta Planner. Any inputs will be appreciated. Thanks in advance.

 

I have to solve the below objective function. Is this kind of multidimensional optimization possible in Opta Planner. Any examples i can refer to in the documentation >

You might find this one interesting:
  https://www.youtube.com/watch?v=NdyIf0JG94Y

This is an abstract, mathematical formulation of an optimization problem.
Other solvers might require this, but the advantage of OptaPlanner is you can use a rich, type-safe, object orientated domain model.
So, I'd start by asking yourself:
  What is F? Is it a Vehicle? Or an Employee? Or a Room? Or a Timeslot?
  What is C? ...
And use that define a type safe domain model.

With the old names, the domain could look something like this:

class C {...}

class F {...}

@PlanningEntity class CellAssignment() {
    C c;
    F f;
    @PlanningVariable(...) BigDecimal value;

}

Unknown xij, to be solved through optimization:

	F1	F2	F3
C1	x11	x12	x13
C2	x21	x22	x23
C3	x31	x32	x33
C4	x41	x42	x43
C5	x51	x52	x53

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[A.S.Shoukat Ghouse]

Hi Geoffrey,

Thanks much. I will refer to the example you mentioned. My problem is similar to the video link you posted.

F in my problem stands for Facilities ( Loan Types) and C is the Collateral Amount alocated against each facility.

I need to find the optimal Collateral Allocation such that the bank loss ( calculated as per the Objective function) is minimum.

Is there any code walkthrough/tutorial for the investment portfolio example?

Thanks,

Shoukat

...

[Geoffrey De Smet]

On 18/12/15 00:34, A.S.Shoukat Ghouse wrote:

Hi Geoffrey,

Thanks much. I will refer to the example you mentioned. My problem is similar to the video link you posted.

F in my problem stands for Facilities ( Loan Types) and C is the Collateral Amount alocated against each facility.

I need to find the optimal Collateral Allocation such that the bank loss ( calculated as per the Objective function) is minimum.

Ah, that use case is familiar. I've dealt with it before for a customer (nothing publicly though).

Is there any code walkthrough/tutorial for the investment portfolio example?

No, but start with the Quick Start chapter, which is a tutorial for the Cloud Balance example.
When you understand the basic concepts, reading the other examples's source code becomes much easier.

http://docs.jboss.org/optaplanner/release/latest/optaplanner-docs/html_single/index.html

Some tips:

1) Also read docs chapter 4.3.5.2.4. ValueRangeFactory
because for financial optimization your value ranges that represent an amount can't be a Collection
or you'll get an out of memory exception.

2) Currently, for financial optimization you'll need to add a custom move
(in future versions we'll add generic moves that can deal well with amounts).
The investment portfolio examples also uses custom moves.

With kind regards,
Geoffrey De Smet

--

[A.S.Shoukat Ghouse]

Thanks so much for the tips Geoffrey.

I will let you know how it goes.

Thanks,

Shoukat

On Thursday, December 17, 2015 at 7:39:58 PM UTC+8, A.S.Shoukat Ghouse wrote:

...

[A.S.Shoukat Ghouse]

Hi Geoffrey,

I am kind of stuck using the OptaPlanner. 

I refer to the Investment Allocation example and compare it to the Cloud Balance example-  

1. In the Investment Allocation example, i do not see where solver.solve(unsolvedAllocation...) method is called and also do not see where and how the unsolved investment is created.

2. Also i see that in this example has only 1 dimensional variable "Quantity" while In my problem i have three variable like Quantity1, Quantity2 and Quantity3 to be spread across multiple investments. To solve my problem using OptaPlanner is possible? Any hints on this.

Regards.

On Thursday, December 17, 2015 at 7:39:58 PM UTC+8, A.S.Shoukat Ghouse wrote:

...

[Geoffrey De Smet]

With kind regards,
Geoffrey De Smet

On 21/12/15 09:55, A.S.Shoukat Ghouse wrote:

Hi Geoffrey,

I am kind of stuck using the OptaPlanner. 

I refer to the Investment Allocation example and compare it to the Cloud Balance example-  

1. In the Investment Allocation example, i do not see where solver.solve(unsolvedAllocation...) method is called and also do not see where and how the unsolved investment is created.

See the Investment*Importer class in the example. That class reads an Excel spreadsheet to create the unsolved investment.

2. Also i see that in this example has only 1 dimensional variable "Quantity" while In my problem i have three variable like Quantity1, Quantity2 and Quantity3 to be spread across multiple investments. To solve my problem using OptaPlanner is possible? Any hints on this.

See proposed domain design in previous replies in this thread.

--

[A.S.Shoukat Ghouse]

I understand that we always need to provide an abstract unsolved solution to the solver?

1. Is it possible to generate random solution and pass that as input to solve? I mean not create a random solution manually like in the cloud balance example.

2. Is it possible to import an unsolved solution from a xml file instead of xlsx?

Regards.

On Thursday, December 17, 2015 at 7:39:58 PM UTC+8, A.S.Shoukat Ghouse wrote:

...