Innovative Algorithm Slashes Time to Solve Massive Optimization Problems
FICO announced that researchers Bjørnar Luteberget and Giorgio Sartor from SINTEF won the 2024 FICO® Xpress Best Paper Award for developing the 'Feasibility Jump' algorithm. This innovative solution can find answers to complex optimization problems with millions of variables in seconds, significantly faster than traditional methods.
The algorithm has been integrated into FICO® Xpress Solver and can perform up to a million variable assignments per second on a modern laptop. This represents a major improvement, reducing solution times from minutes to seconds. The algorithm bypasses the need for initial Linear Programming solutions in Mixed-Integer Programming (MIP) problems through a Lagrangian relaxation heuristic approach.
The winning paper was published in Mathematical Programming Computation 15.2 (2023). FICO® Xpress Solver is recognized as one of the fastest optimization solvers, serving applications in supply chain optimization, energy, and pricing.
FICO ha annunciato che i ricercatori Bjørnar Luteberget e Giorgio Sartor di SINTEF hanno vinto il FICO® Xpress Best Paper Award 2024 per lo sviluppo dell'algoritmo 'Feasibility Jump'. Questa soluzione innovativa è in grado di trovare risposte a problemi di ottimizzazione complessi con milioni di variabili in pochi secondi, significativamente più velocemente rispetto ai metodi tradizionali.
L'algoritmo è stato integrato nel FICO® Xpress Solver e può eseguire fino a un milione di assegnazioni di variabili al secondo su un moderno laptop. Questo rappresenta un miglioramento significativo, riducendo i tempi di soluzione da minuti a secondi. L'algoritmo salta la necessità di soluzioni iniziali di Programmazione Lineare nei problemi di Programmazione Mista Intera (MIP) attraverso un approccio euristico di rilassamento lagrangiano.
Il documento vincitore è stato pubblicato su Mathematical Programming Computation 15.2 (2023). FICO® Xpress Solver è riconosciuto come uno dei solutori di ottimizzazione più veloci, utilizzato in applicazioni di ottimizzazione della catena di fornitura, energia e pricing.
FICO anunció que los investigadores Bjørnar Luteberget y Giorgio Sartor de SINTEF ganaron el FICO® Xpress Best Paper Award 2024 por desarrollar el algoritmo 'Feasibility Jump'. Esta solución innovadora puede encontrar respuestas a problemas de optimización complejos con millones de variables en segundos, significativamente más rápido que los métodos tradicionales.
El algoritmo ha sido integrado en el FICO® Xpress Solver y puede realizar hasta un millón de asignaciones de variables por segundo en una laptop moderna. Esto representa una mejora importante, reduciendo los tiempos de solución de minutos a segundos. El algoritmo elude la necesidad de soluciones iniciales de Programación Lineal en problemas de Programación Entera Mixta (MIP) mediante un enfoque heurístico de relajación lagrangiana.
El artículo ganador fue publicado en Mathematical Programming Computation 15.2 (2023). FICO® Xpress Solver es reconocido como uno de los solvers de optimización más rápidos, sirviendo a aplicaciones en la optimización de la cadena de suministro, energía y precios.
FICO는 SINTEF의 연구원 Bjørnar Luteberget와 Giorgio Sartor가 'Feasibility Jump' 알고리즘 개발로 2024 FICO® Xpress Best Paper Award를 수상했다고 발표했습니다. 이 혁신적인 솔루션은 수백만 개의 변수를 가진 복잡한 최적화 문제에 대한 답을 몇 초 안에 찾을 수 있으며, 전통적인 방법보다 상당히 빠릅니다.
이 알고리즘은 FICO® Xpress Solver에 통합되어 있으며 현대적인 노트북에서 초당 최대 백만 개의 변수 할당을 수행할 수 있습니다. 이는 해결 시간을 분에서 초로 줄이는 주요 개선을 나타냅니다. 이 알고리즘은 혼합 정수 프로그래밍(MIP) 문제에서 초기 선형 프로그래밍 솔루션의 필요성을 배제하며, 라그랑주 완화 휴리스틱 접근 방식을 사용합니다.
수상 논문은 Mathematical Programming Computation 15.2(2023)에 게재되었습니다. FICO® Xpress Solver는 공급망 최적화, 에너지 및 가격 책정에 적용되는 최상위 최적화 솔버로 인정받고 있습니다.
FICO a annoncé que les chercheurs Bjørnar Luteberget et Giorgio Sartor de SINTEF ont remporté le FICO® Xpress Best Paper Award 2024 pour le développement de l'algorithme 'Feasibility Jump'. Cette solution innovante peut trouver des réponses à des problèmes d'optimisation complexes avec des millions de variables en quelques secondes, de manière significativement plus rapide que les méthodes traditionnelles.
L'algorithme a été intégré dans le FICO® Xpress Solver et peut effectuer jusqu'à un million d'affectations de variables par seconde sur un ordinateur portable moderne. Cela représente une amélioration majeure, réduisant les temps de solution de minutes à secondes. L'algorithme contourne la nécessité d'une solution initiale de programmation linéaire dans les problèmes de programmation mixte par une approche heuristique de relaxation lagrangienne.
L'article gagnant a été publié dans Mathematical Programming Computation 15.2 (2023). FICO® Xpress Solver est reconnu comme l'un des solveurs d'optimisation les plus rapides, servant des applications dans l'optimisation de la chaîne d'approvisionnement, l'énergie et la tarification.
FICO hat angekündigt, dass die Forscher Bjørnar Luteberget und Giorgio Sartor von SINTEF den FICO® Xpress Best Paper Award 2024 für die Entwicklung des Algorithmus 'Feasibility Jump' gewonnen haben. Diese innovative Lösung kann Antworten auf komplexe Optimierungsprobleme mit Millionen von Variablen in Sekunden finden, was signifikant schneller ist als traditionelle Methoden.
Der Algorithmus wurde in den FICO® Xpress Solver integriert und kann auf einem modernen Laptop bis zu eine Million Variablenzuweisungen pro Sekunde durchführen. Dies stellt eine wesentliche Verbesserung dar, indem die Lösungszeiten von Minuten auf Sekunden reduziert werden. Der Algorithmus umgeht die Notwendigkeit von anfänglichen Lösungen der linearen Programmierung in gemischten ganzen Programmierungsproblemen (MIP) durch einen heuristischen Ansatz zur lagrangeschen Relaxation.
Der preisgekrönte Artikel wurde in Mathematical Programming Computation 15.2 (2023) veröffentlicht. FICO® Xpress Solver wird als einer der schnellsten Optimierungs-Solver anerkannt und findet Anwendungen in der Optimierung von Lieferketten, Energie und Preisgestaltung.
- Integration of new high-performance algorithm into FICO® Xpress Solver product
- Significant performance improvement reducing processing time from minutes to seconds
- Capability to handle million variable assignments per second
- None.
Insights
The integration of the award-winning Feasibility Jump algorithm into FICO's Xpress Solver represents a significant competitive advantage in the enterprise optimization software market. This breakthrough enables solving massive optimization problems up to 1 million variable assignments per second, potentially transforming how businesses approach complex decision-making in areas like supply chain management, energy distribution and pricing optimization.
The business implications are substantial:
- Enhanced market position in the competitive enterprise software sector, particularly against rivals like IBM CPLEX and Gurobi
- Potential for increased revenue through both new client acquisition and existing client upgrades, especially in compute-intensive industries
- Strengthened value proposition for industries requiring real-time optimization, such as logistics, manufacturing and financial services
- Reduced computational costs for clients, potentially leading to higher margins or more competitive pricing
This development is particularly timely as businesses increasingly rely on sophisticated optimization tools for operational efficiency and cost reduction. The algorithm's ability to bypass traditional Linear Programming solutions represents a paradigm shift in optimization technology, potentially opening new market opportunities in sectors where computational speed is critical.
The integration into FICO's commercial product demonstrates the company's continued innovation leadership and ability to transform academic research into practical business solutions. This could strengthen FICO's position in the growing $1.5 billion optimization software market, particularly in enterprise-level applications where solution speed directly impacts operational efficiency and cost savings.
Research paper by Bjørnar Luteberget and Giorgio Sartor wins 2024 FICO® Xpress Best Paper Award; the algorithm is now in FICO® Xpress Solver
More information: https://community.fico.com/s/blog-post/a5QQi000002rzAfMAI/fico5205
“When solving a very large computational problem, optimization solvers can require significant computational time to find a first feasible solution,” said Dr. Timo Berthold, director of Mixed-Integer Optimization at FICO who co-manages the contest. “The innovative work done by Luteberget and Sartor is a heuristic algorithm for Mixed-Integer Programming (MIP) problems that ‘jumps’ past the need to first develop a Linear Programming solution to the problem. It is a Lagrangian relaxation heuristic that can be very effective in quickly producing feasible solutions to large-scale, complex MIP problems.”
Feasibility Jump was initially developed for the MIP 2022 Computational Computation, which challenged participants to develop LP-free MIP heuristics. After winning the competition, a question was left hanging in the air: How does Feasibility Jump compare with state-of-the-art commercial solvers, and can it be used to complement them? This is where the FICO® Xpress Solver entered the picture.
“One of Feasibility Jump's main features is its efficiency: with a modern laptop, it can perform up to a million variable assignments per second,” said Giorgio Sartor, one of the paper’s co-authors. “This can represent the difference between obtaining the first feasible solution in seconds instead of minutes. The high customization capabilities and low-level control possibilities of FICO Xpress Solver were essential to properly integrate and rigorously test Feasibility Jump inside a cutting-edge MIP solver.”
Torkel Andreas Haufmann, research manager at SINTEF, adds: “At SINTEF we take pride in transforming research findings into real-world, practical solutions. This work is a great example of groundbreaking research combined with an application-oriented mindset!”
“We at FICO congratulate Bjørnar and Giorgio on winning the 2024 FICO Xpress Best Paper Award,” said Berthold. “Amidst numerous strong contenders, their remarkable research stood out prominently. The award jury was impressed by its originality and practical relevance. The awarded paper significantly contributed to the development of MIP technology and showed remarkable results in challenging instances.”
The winning paper was published in Mathematical Programming Computation 15.2 (2023): Luteberget, Bjørnar, and Giorgio Sartor. "Feasibility Jump: an LP-free Lagrangian MIP heuristic."
In 2022, the FICO® Xpress Best Paper Award was introduced to acknowledge exceptional research in mathematical optimization, operations research and related fields. Nominations for the 2025 award are due by January 31.
Recognized as one of the fastest and most powerful optimization solvers, FICO® Xpress Solver gives business users, data scientists and researchers greater power and flexibility when solving complex problems in supply chain optimization, energy, pricing and many other applications.
About FICO
FICO (NYSE: FICO) powers decisions that help people and businesses around the world prosper. Founded in 1956, the company is a pioneer in the use of predictive analytics and data science to improve operational decisions. FICO holds more than 200 US and foreign patents on technologies that increase profitability, customer satisfaction and growth for businesses in financial services, insurance, telecommunications, health care, retail and many other industries. Using FICO solutions, businesses in more than 80 countries do everything from protecting 4 billion payment cards from fraud, to improving financial inclusion, to increasing supply chain resiliency. The FICO® Score, used by
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Julie Huang
press@fico.com
Source: FICO
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