Live Webcast 15th Annual Charm++ Workshop

Parallel Branch-and-Bound for Two-stage Stochastic Integer Optimization
Charm++ Workshop 2014
Publication Type: Talk
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Many real-world planning problems require searching for an optimal solution in the face of uncertain input. One approach to is to express them as a two-stage stochastic optimization problem where the search for an optimum in one stage is informed by the evaluation of multiple possible scenarios in the other stage. Applications of stochastic programming spans a diverse fields ranging from production, financial modeling, transportation (road as well as air), supply chain and scheduling to environmental and pollution control, telecommunications and electricity. In this talk, we present the parallelization of a two-stage stochastic integer program solved using branch-and-bound. We present a range of factors that influence the parallel design for such problems. Unlike typical, iterative scientific applications, we encounter several interesting characteristics that make it challenging to realize a scalable design. We present two design variations that navigate some of these challenges. Our designs seek to increase the exposed parallelism while delegating sequential linear program solves to existing libraries. We evaluate the scalability of our designs using sample aircraft allocation problems for the US airfleet. It is important that these problems be solved quickly while evaluating large number of scenarios. Our attempts result in strong scaling to hundreds of cores for these datasets.
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