Combining Mixed Integer Programming and Supervised Learning for Fast Re-planning

We introduce a new plan repair method for problems cast as Mixed Integer Programs. In order to tackle the inherent complexity of these NP-hard problems, our approach relies on the use of Supervised Learning method for the offline construction of a predictor which takes the problem´s parameters as input and infers values for the discrete optimization variables. This way, the online resolution time of the plan repair problem can be greatly decreased by avoiding a large part of the combinatorial search among discrete variables. This contribution was motivated by the large-scale problem of intra-daily recourse strategy computation in electrical power systems. We report and discuss results on this benchmark, illustrating the different aspects and mechanisms of this new approach which provided close-to-optimal solutions in only a fraction of the computational time necessary for existing solvers.