Scylla: a matrix-free fix-propagate-and-project heuristic for mixed-integer optimization

07/07/2023

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by   Gioni Mexi, et al.

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We introduce Scylla, a primal heuristic for mixed-integer optimization problems. It exploits approximate solves of the Linear Programming relaxations through the matrix-free Primal-Dual Hybrid Gradient algorithm with specialized termination criteria, and derives integer-feasible solutions via fix-and-propagate procedures and feasibility-pump-like updates to the objective function. Computational experiments show that the method is particularly suited to instances with hard linear relaxations.