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<a href="./posts/operations-research-references.html">Operations Research and Optimisation: where to start?</a> - May 26, 2020 <a href="./posts/operations-research-references.html">Operations Research and Optimization: where to start?</a> - May 27, 2020
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<updated>2020-05-26T00:00:00Z</updated> <updated>2020-05-27T00:00:00Z</updated>
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<title>Operations Research and Optimisation: where to start?</title> <title>Operations Research and Optimization: where to start?</title>
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<p><a href="https://en.wikipedia.org/wiki/Operations_research">Operations research</a> (OR) is a vast area comprising a lot of theory, different branches of mathematics, and too many applications to count. In this post, I will try to explain why I find it so fascinating, but also why it can be a little disconcerting to explore at first. Then I will try to ease the newcomer’s path in this rich area, by suggesting a very rough “map” of the field and a few references to get started.</p> <p><a href="https://en.wikipedia.org/wiki/Operations_research">Operations research</a> (OR) is a vast area comprising a lot of theory, different branches of mathematics, and too many applications to count. In this post, I will try to explain why it can be a little disconcerting to explore at first, and how to start investigating the topic with a few references to get started.</p>
<p>Keep in mind that although I studied it during my graduate studies, this is not my primary area of expertise (I’m a data scientist by trade), and I definitely don’t pretend to know everything in OR. This is a field too vast for any single person to understand in its entirety, and I talk mostly from a “amateur mathematician and computer scientist” standpoint.</p> <p>Keep in mind that although I studied it during my graduate studies, this is not my primary area of expertise (I’m a data scientist by trade), and I definitely don’t pretend to know everything in OR. This is a field too vast for any single person to understand in its entirety, and I talk mostly from an “amateur mathematician and computer scientist” standpoint.</p>
<h2 id="why-is-it-hard-to-approach">Why is it hard to approach?</h2> <h2 id="why-is-it-hard-to-approach">Why is it hard to approach?</h2>
<p>Operations research can be difficult to approach, since there are many references and subfields. Compared to machine learning for instance, OR has a slightly longer history (going back to the 17th century, for example with <a href="https://en.wikipedia.org/wiki/Gaspard_Monge">Monge</a> and the <a href="https://en.wikipedia.org/wiki/Transportation_theory_(mathematics)">optimal transport problem</a>)<span><label for="sn-1" class="margin-toggle">⊕</label><input type="checkbox" id="sn-1" class="margin-toggle" /><span class="marginnote"> For a very nice introduction (in French) to optimal transport, see these blog posts by <a href="https://twitter.com/gabrielpeyre">Gabriel Peyré</a>, on the CNRS maths blog: <a href="https://images.math.cnrs.fr/Le-transport-optimal-numerique-et-ses-applications-Partie-1.html">Part 1</a> and <a href="https://images.math.cnrs.fr/Le-transport-optimal-numerique-et-ses-applications-Partie-2.html">Part 2</a>. See also the resources on <a href="https://optimaltransport.github.io/">optimaltransport.github.io</a> (in English).<br /> <p>Operations research can be difficult to approach, since there are many references and subfields. Compared to machine learning for instance, OR has a slightly longer history (going back to the 17th century, for example with <a href="https://en.wikipedia.org/wiki/Gaspard_Monge">Monge</a> and the <a href="https://en.wikipedia.org/wiki/Transportation_theory_(mathematics)">optimal transport problem</a>)<span><label for="sn-1" class="margin-toggle">⊕</label><input type="checkbox" id="sn-1" class="margin-toggle" /><span class="marginnote"> For a very nice introduction (in French) to optimal transport, see these blog posts by <a href="https://twitter.com/gabrielpeyre">Gabriel Peyré</a>, on the CNRS maths blog: <a href="https://images.math.cnrs.fr/Le-transport-optimal-numerique-et-ses-applications-Partie-1.html">Part 1</a> and <a href="https://images.math.cnrs.fr/Le-transport-optimal-numerique-et-ses-applications-Partie-2.html">Part 2</a>. See also the resources on <a href="https://optimaltransport.github.io/">optimaltransport.github.io</a> (in English).<br />
<br /> <br />
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<p>For an overall introduction, I recommend <span class="citation" data-cites="wentzel1988_operat">Wentzel (<a href="#ref-wentzel1988_operat">1988</a>)</span>. It is an old book, published by Mir Publications, a Soviet publisher which published many excellent scientific textbooks<span><label for="sn-2" class="margin-toggle">⊕</label><input type="checkbox" id="sn-2" class="margin-toggle" /><span class="marginnote"> Mir also published <a href="https://mirtitles.org/2011/06/03/physics-for-everyone/"><em>Physics for Everyone</em></a> by Lev Landau and Alexander Kitaigorodsky, a three-volume introduction to physics that is really accessible. Together with Feynman’s famous <a href="https://www.feynmanlectures.caltech.edu/">lectures</a>, I read them (in French) when I was a kid, and it was the best introduction I could possibly have to the subject.<br /> <p>For an overall introduction, I recommend <span class="citation" data-cites="wentzel1988_operat">Wentzel (<a href="#ref-wentzel1988_operat">1988</a>)</span>. It is an old book, published by Mir Publications, a Soviet publisher which published many excellent scientific textbooks<span><label for="sn-2" class="margin-toggle">⊕</label><input type="checkbox" id="sn-2" class="margin-toggle" /><span class="marginnote"> Mir also published <a href="https://mirtitles.org/2011/06/03/physics-for-everyone/"><em>Physics for Everyone</em></a> by Lev Landau and Alexander Kitaigorodsky, a three-volume introduction to physics that is really accessible. Together with Feynman’s famous <a href="https://www.feynmanlectures.caltech.edu/">lectures</a>, I read them (in French) when I was a kid, and it was the best introduction I could possibly have to the subject.<br />
<br /> <br />
</span></span>. It is out of print, but it is available <a href="https://archive.org/details/WentzelOperationsResearchMir1983">on Archive.org</a>. The book is quite old, but everything presented is still extremely relevant today. It requires absolutely no background, and covers everything: a general introduction to the field, linear programming, dynamic programming, Markov processes and queues, Monte Carlo methods, and game theory. Even if you already know some of these topics, the presentations is so clear that it is a pleasure to read! (In particular, it is one of the best presentations of dynamic programming that I have ever read. The explanation of the simplex algorithm is also excellent.)</p> </span></span>. It is out of print, but it is available <a href="https://archive.org/details/WentzelOperationsResearchMir1983">on Archive.org</a>. The book is quite old, but everything presented is still extremely relevant today. It requires absolutely no background, and covers everything: a general introduction to the field, linear programming, dynamic programming, Markov processes and queues, Monte Carlo methods, and game theory. Even if you already know some of these topics, the presentations is so clear that it is a pleasure to read! (In particular, it is one of the best presentations of dynamic programming that I have ever read. The explanation of the simplex algorithm is also excellent.)</p>
<p>If you are interested in optimization, the first thing you have to learn is modelling, i.e. transforming your problem (described in natural language, often from a particular industrial application) into a mathematical programme. The mathematical programme is the structure on which you will be able to apply an algorithm to find an optimal solution. Even if (like me) you are initially more interested by the algorithmic side of things, learning to create models will shed a lot of light on the overall process, and will give you more insight in general on the reasoning behind algorithms.</p> <p>If you are interested in optimization, the first thing you have to learn is modelling, i.e. transforming your problem (described in natural language, often from a particular industrial application) into a mathematical programme. The mathematical programme is the structure on which you will be able to apply an algorithm to find an optimal solution. Even if (like me) you are initially more interested in the algorithmic side of things, learning to create models will shed a lot of light on the overall process, and will give you more insight in general on the reasoning behind algorithms.</p>
<p>The best book I have read on the subject is <span class="citation" data-cites="williams2013_model">Williams (<a href="#ref-williams2013_model">2013</a>)</span>. It contains a lot of concrete, step-by-step examples on concrete applications, in a multitude of domains, and remains very easy to read and to follow. It covers nearly every type of problem, so it is very useful as a reference. When you encounter a concrete problem in real life afterwards, you will know how to construct an appropriate model, and in the process you will often identify a common type of problem. The book then gives plenty of advice on how to best approach each type of problem. Finally, it is also a great resource to build a “mental map” of the field, avoiding to get lost in the jungle of linear, stochastic, mixed integer, quadratic, and other network problems.</p> <p>The best book I have read on the subject is <span class="citation" data-cites="williams2013_model">Williams (<a href="#ref-williams2013_model">2013</a>)</span>. It contains a lot of concrete, step-by-step examples on concrete applications, in a multitude of domains, and remains very easy to read and to follow. It covers nearly every type of problem, so it is very useful as a reference. When you encounter a concrete problem in real life afterwards, you will know how to construct an appropriate model, and in the process you will often identify a common type of problem. The book then gives plenty of advice on how to approach each type of problem. Finally, it is also a great resource to build a “mental map” of the field, avoiding getting lost in the jungle of linear, stochastic, mixed integer, quadratic, and other network problems.</p>
<p>Another interesting resource is the freely available <a href="https://docs.mosek.com/modeling-cookbook/index.html">MOSEK Modeling Cookbook</a>, covering many types of problems, with more mathematical details than in <span class="citation" data-cites="williams2013_model">Williams (<a href="#ref-williams2013_model">2013</a>)</span>. It is built for people wanting to use the commercial <a href="https://www.mosek.com/">MOSEK</a> solver, so it could be useful if you plan to use a solver package like this one (more details on solvers <a href="#solvers">below</a>).</p> <p>Another interesting resource is the freely available <a href="https://docs.mosek.com/modeling-cookbook/index.html">MOSEK Modeling Cookbook</a>, covering many types of problems, with more mathematical details than in <span class="citation" data-cites="williams2013_model">Williams (<a href="#ref-williams2013_model">2013</a>)</span>. It is built for people wanting to use the commercial <a href="https://www.mosek.com/">MOSEK</a> solver, so it could be useful if you plan to use a solver package like this one (more details on solvers <a href="#solvers">below</a>).</p>
<h3 id="theory-and-algorithms">Theory and algorithms</h3> <h3 id="theory-and-algorithms">Theory and algorithms</h3>
<p>The basic algorithm for optimization is the <a href="https://en.wikipedia.org/wiki/Simplex_algorithm">simplex algorithm</a>, developed by Dantzig in the 1940s to solve <a href="https://en.wikipedia.org/wiki/Linear_programming">linear programming</a> problems. It is the one of the main building blocks for mathematical optimization, and is used and referenced extensively in all kinds of approaches. As such, it is really important to understand it in detail. There are many books on the subject, but I especially liked <span class="citation" data-cites="chvatal1983_linear">Chvátal (<a href="#ref-chvatal1983_linear">1983</a>)</span> (out of print, but you can find cheap used versions on Amazon). It covers everything there is to know on the simplex algorithms (step-by-step explanations with simple examples, correctness and complexity analysis, computational and implementation considerations) and to many applications. I think it is overall the best introduction. <span class="citation" data-cites="vanderbei2014_linear">Vanderbei (<a href="#ref-vanderbei2014_linear">2014</a>)</span> follows a very similar outline, but contains more recent computational considerations<span><label for="sn-3" class="margin-toggle sidenote-number"></label><input type="checkbox" id="sn-3" class="margin-toggle" /><span class="sidenote">For all the details about practical implementations of the simplex algorithm, <span class="citation" data-cites="maros2003_comput">Maros (<a href="#ref-maros2003_comput">2003</a>)</span> is dedicated to the computational aspects and contains everything you will need.<br /> <p>The basic algorithm for optimization is the <a href="https://en.wikipedia.org/wiki/Simplex_algorithm">simplex algorithm</a>, developed by Dantzig in the 1940s to solve <a href="https://en.wikipedia.org/wiki/Linear_programming">linear programming</a> problems. It is the one of the main building blocks for mathematical optimization, and is used and referenced extensively in all kinds of approaches. As such, it is really important to understand it in detail. There are many books on the subject, but I especially liked <span class="citation" data-cites="chvatal1983_linear">Chvátal (<a href="#ref-chvatal1983_linear">1983</a>)</span> (out of print, but you can find cheap used versions on Amazon). It covers everything there is to know on the simplex algorithms (step-by-step explanations with simple examples, correctness and complexity analysis, computational and implementation considerations) and to many applications. I think it is overall the best introduction. <span class="citation" data-cites="vanderbei2014_linear">Vanderbei (<a href="#ref-vanderbei2014_linear">2014</a>)</span> follows a very similar outline, but contains more recent computational considerations<span><label for="sn-3" class="margin-toggle sidenote-number"></label><input type="checkbox" id="sn-3" class="margin-toggle" /><span class="sidenote">For all the details about practical implementations of the simplex algorithm, <span class="citation" data-cites="maros2003_comput">Maros (<a href="#ref-maros2003_comput">2003</a>)</span> is dedicated to the computational aspects and contains everything you will need.<br />
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<p>Regarding solvers, there is a <a href="http://www.juliaopt.org/JuMP.jl/stable/installation/#Getting-Solvers-1">list of solvers</a> on JuMP’s documentation, with their capabilities and their license. Free solvers include <a href="https://www.gnu.org/software/glpk/">GLPK</a> (linear programming), <a href="https://github.com/coin-or/Ipopt">Ipopt</a> (non-linear programming), and <a href="https://scip.zib.de/">SCIP</a> (mixed-integer linear programming).</p> <p>Regarding solvers, there is a <a href="http://www.juliaopt.org/JuMP.jl/stable/installation/#Getting-Solvers-1">list of solvers</a> on JuMP’s documentation, with their capabilities and their license. Free solvers include <a href="https://www.gnu.org/software/glpk/">GLPK</a> (linear programming), <a href="https://github.com/coin-or/Ipopt">Ipopt</a> (non-linear programming), and <a href="https://scip.zib.de/">SCIP</a> (mixed-integer linear programming).</p>
<p>Commercial solvers often have better performance, and some of them propose a free academic license: <a href="https://www.mosek.com/">MOSEK</a>, <a href="https://www.gurobi.com/">Gurobi</a>, and <a href="https://www.ibm.com/analytics/cplex-optimizer">IBM CPLEX</a> in particular all offer free academic licenses and work very well with JuMP.</p> <p>Commercial solvers often have better performance, and some of them propose a free academic license: <a href="https://www.mosek.com/">MOSEK</a>, <a href="https://www.gurobi.com/">Gurobi</a>, and <a href="https://www.ibm.com/analytics/cplex-optimizer">IBM CPLEX</a> in particular all offer free academic licenses and work very well with JuMP.</p>
<p>Another awesome resource is the <a href="https://neos-server.org/neos/">NEOS Server</a>. It offers free computing resources for numerical optimization, including all major free and commercial solvers! You can submit jobs on it in a standard format, or interface your favourite programming language with it. The fact that such an amazing resource exists for free, for everyone is extraordinary. They also have an accompanying book, the <a href="https://neos-guide.org/">NEOS Guide</a>, containing many case studies and description of problem types. The <a href="https://neos-guide.org/content/optimization-taxonomy">taxonomy</a> may be particularly useful.</p> <p>Another awesome resource is the <a href="https://neos-server.org/neos/">NEOS Server</a>. It offers free computing resources for numerical optimization, including all major free and commercial solvers! You can submit jobs on it in a standard format, or interface your favourite programming language with it. The fact that such an amazing resource exists for free, for everyone is extraordinary. They also have an accompanying book, the <a href="https://neos-guide.org/">NEOS Guide</a>, containing many case studies and description of problem types. The <a href="https://neos-guide.org/content/optimization-taxonomy">taxonomy</a> may be particularly useful.</p>
<h2 id="conclusion">Conclusion</h2>
<p>Operations research is a fascinating topic, and it has an abundant literature that makes it very easy to dive into the subject. If you are interested in algorithms, modelling for practical applications, or just wish to understand more, I hope to have given you the first steps to follow, start reading and experimenting.</p>
<h2 id="references" class="unnumbered">References</h2> <h2 id="references" class="unnumbered">References</h2>
<div id="refs" class="references"> <div id="refs" class="references">
<div id="ref-bertsimas1997_introd"> <div id="ref-bertsimas1997_introd">

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<a href="./posts/operations-research-references.html">Operations Research and Optimisation: where to start?</a> - May 26, 2020 <a href="./posts/operations-research-references.html">Operations Research and Optimization: where to start?</a> - May 27, 2020
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<h1 class="title">Operations Research and Optimisation: where to start?</h1> <h1 class="title">Operations Research and Optimization: where to start?</h1>
<p class="byline">May 26, 2020</p> <p class="byline">May 27, 2020</p>
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<section> <section>
<p><a href="https://en.wikipedia.org/wiki/Operations_research">Operations research</a> (OR) is a vast area comprising a lot of theory, different branches of mathematics, and too many applications to count. In this post, I will try to explain why I find it so fascinating, but also why it can be a little disconcerting to explore at first. Then I will try to ease the newcomer’s path in this rich area, by suggesting a very rough “map” of the field and a few references to get started.</p> <p><a href="https://en.wikipedia.org/wiki/Operations_research">Operations research</a> (OR) is a vast area comprising a lot of theory, different branches of mathematics, and too many applications to count. In this post, I will try to explain why it can be a little disconcerting to explore at first, and how to start investigating the topic with a few references to get started.</p>
<p>Keep in mind that although I studied it during my graduate studies, this is not my primary area of expertise (I’m a data scientist by trade), and I definitely don’t pretend to know everything in OR. This is a field too vast for any single person to understand in its entirety, and I talk mostly from a “amateur mathematician and computer scientist” standpoint.</p> <p>Keep in mind that although I studied it during my graduate studies, this is not my primary area of expertise (I’m a data scientist by trade), and I definitely don’t pretend to know everything in OR. This is a field too vast for any single person to understand in its entirety, and I talk mostly from an “amateur mathematician and computer scientist” standpoint.</p>
<h2 id="why-is-it-hard-to-approach">Why is it hard to approach?</h2> <h2 id="why-is-it-hard-to-approach">Why is it hard to approach?</h2>
<p>Operations research can be difficult to approach, since there are many references and subfields. Compared to machine learning for instance, OR has a slightly longer history (going back to the 17th century, for example with <a href="https://en.wikipedia.org/wiki/Gaspard_Monge">Monge</a> and the <a href="https://en.wikipedia.org/wiki/Transportation_theory_(mathematics)">optimal transport problem</a>)<span><label for="sn-1" class="margin-toggle">⊕</label><input type="checkbox" id="sn-1" class="margin-toggle" /><span class="marginnote"> For a very nice introduction (in French) to optimal transport, see these blog posts by <a href="https://twitter.com/gabrielpeyre">Gabriel Peyré</a>, on the CNRS maths blog: <a href="https://images.math.cnrs.fr/Le-transport-optimal-numerique-et-ses-applications-Partie-1.html">Part 1</a> and <a href="https://images.math.cnrs.fr/Le-transport-optimal-numerique-et-ses-applications-Partie-2.html">Part 2</a>. See also the resources on <a href="https://optimaltransport.github.io/">optimaltransport.github.io</a> (in English).<br /> <p>Operations research can be difficult to approach, since there are many references and subfields. Compared to machine learning for instance, OR has a slightly longer history (going back to the 17th century, for example with <a href="https://en.wikipedia.org/wiki/Gaspard_Monge">Monge</a> and the <a href="https://en.wikipedia.org/wiki/Transportation_theory_(mathematics)">optimal transport problem</a>)<span><label for="sn-1" class="margin-toggle">⊕</label><input type="checkbox" id="sn-1" class="margin-toggle" /><span class="marginnote"> For a very nice introduction (in French) to optimal transport, see these blog posts by <a href="https://twitter.com/gabrielpeyre">Gabriel Peyré</a>, on the CNRS maths blog: <a href="https://images.math.cnrs.fr/Le-transport-optimal-numerique-et-ses-applications-Partie-1.html">Part 1</a> and <a href="https://images.math.cnrs.fr/Le-transport-optimal-numerique-et-ses-applications-Partie-2.html">Part 2</a>. See also the resources on <a href="https://optimaltransport.github.io/">optimaltransport.github.io</a> (in English).<br />
<br /> <br />
@ -62,8 +62,8 @@
<p>For an overall introduction, I recommend <span class="citation" data-cites="wentzel1988_operat">Wentzel (<a href="#ref-wentzel1988_operat">1988</a>)</span>. It is an old book, published by Mir Publications, a Soviet publisher which published many excellent scientific textbooks<span><label for="sn-2" class="margin-toggle">⊕</label><input type="checkbox" id="sn-2" class="margin-toggle" /><span class="marginnote"> Mir also published <a href="https://mirtitles.org/2011/06/03/physics-for-everyone/"><em>Physics for Everyone</em></a> by Lev Landau and Alexander Kitaigorodsky, a three-volume introduction to physics that is really accessible. Together with Feynman’s famous <a href="https://www.feynmanlectures.caltech.edu/">lectures</a>, I read them (in French) when I was a kid, and it was the best introduction I could possibly have to the subject.<br /> <p>For an overall introduction, I recommend <span class="citation" data-cites="wentzel1988_operat">Wentzel (<a href="#ref-wentzel1988_operat">1988</a>)</span>. It is an old book, published by Mir Publications, a Soviet publisher which published many excellent scientific textbooks<span><label for="sn-2" class="margin-toggle">⊕</label><input type="checkbox" id="sn-2" class="margin-toggle" /><span class="marginnote"> Mir also published <a href="https://mirtitles.org/2011/06/03/physics-for-everyone/"><em>Physics for Everyone</em></a> by Lev Landau and Alexander Kitaigorodsky, a three-volume introduction to physics that is really accessible. Together with Feynman’s famous <a href="https://www.feynmanlectures.caltech.edu/">lectures</a>, I read them (in French) when I was a kid, and it was the best introduction I could possibly have to the subject.<br />
<br /> <br />
</span></span>. It is out of print, but it is available <a href="https://archive.org/details/WentzelOperationsResearchMir1983">on Archive.org</a>. The book is quite old, but everything presented is still extremely relevant today. It requires absolutely no background, and covers everything: a general introduction to the field, linear programming, dynamic programming, Markov processes and queues, Monte Carlo methods, and game theory. Even if you already know some of these topics, the presentations is so clear that it is a pleasure to read! (In particular, it is one of the best presentations of dynamic programming that I have ever read. The explanation of the simplex algorithm is also excellent.)</p> </span></span>. It is out of print, but it is available <a href="https://archive.org/details/WentzelOperationsResearchMir1983">on Archive.org</a>. The book is quite old, but everything presented is still extremely relevant today. It requires absolutely no background, and covers everything: a general introduction to the field, linear programming, dynamic programming, Markov processes and queues, Monte Carlo methods, and game theory. Even if you already know some of these topics, the presentations is so clear that it is a pleasure to read! (In particular, it is one of the best presentations of dynamic programming that I have ever read. The explanation of the simplex algorithm is also excellent.)</p>
<p>If you are interested in optimization, the first thing you have to learn is modelling, i.e. transforming your problem (described in natural language, often from a particular industrial application) into a mathematical programme. The mathematical programme is the structure on which you will be able to apply an algorithm to find an optimal solution. Even if (like me) you are initially more interested by the algorithmic side of things, learning to create models will shed a lot of light on the overall process, and will give you more insight in general on the reasoning behind algorithms.</p> <p>If you are interested in optimization, the first thing you have to learn is modelling, i.e. transforming your problem (described in natural language, often from a particular industrial application) into a mathematical programme. The mathematical programme is the structure on which you will be able to apply an algorithm to find an optimal solution. Even if (like me) you are initially more interested in the algorithmic side of things, learning to create models will shed a lot of light on the overall process, and will give you more insight in general on the reasoning behind algorithms.</p>
<p>The best book I have read on the subject is <span class="citation" data-cites="williams2013_model">Williams (<a href="#ref-williams2013_model">2013</a>)</span>. It contains a lot of concrete, step-by-step examples on concrete applications, in a multitude of domains, and remains very easy to read and to follow. It covers nearly every type of problem, so it is very useful as a reference. When you encounter a concrete problem in real life afterwards, you will know how to construct an appropriate model, and in the process you will often identify a common type of problem. The book then gives plenty of advice on how to best approach each type of problem. Finally, it is also a great resource to build a “mental map” of the field, avoiding to get lost in the jungle of linear, stochastic, mixed integer, quadratic, and other network problems.</p> <p>The best book I have read on the subject is <span class="citation" data-cites="williams2013_model">Williams (<a href="#ref-williams2013_model">2013</a>)</span>. It contains a lot of concrete, step-by-step examples on concrete applications, in a multitude of domains, and remains very easy to read and to follow. It covers nearly every type of problem, so it is very useful as a reference. When you encounter a concrete problem in real life afterwards, you will know how to construct an appropriate model, and in the process you will often identify a common type of problem. The book then gives plenty of advice on how to approach each type of problem. Finally, it is also a great resource to build a “mental map” of the field, avoiding getting lost in the jungle of linear, stochastic, mixed integer, quadratic, and other network problems.</p>
<p>Another interesting resource is the freely available <a href="https://docs.mosek.com/modeling-cookbook/index.html">MOSEK Modeling Cookbook</a>, covering many types of problems, with more mathematical details than in <span class="citation" data-cites="williams2013_model">Williams (<a href="#ref-williams2013_model">2013</a>)</span>. It is built for people wanting to use the commercial <a href="https://www.mosek.com/">MOSEK</a> solver, so it could be useful if you plan to use a solver package like this one (more details on solvers <a href="#solvers">below</a>).</p> <p>Another interesting resource is the freely available <a href="https://docs.mosek.com/modeling-cookbook/index.html">MOSEK Modeling Cookbook</a>, covering many types of problems, with more mathematical details than in <span class="citation" data-cites="williams2013_model">Williams (<a href="#ref-williams2013_model">2013</a>)</span>. It is built for people wanting to use the commercial <a href="https://www.mosek.com/">MOSEK</a> solver, so it could be useful if you plan to use a solver package like this one (more details on solvers <a href="#solvers">below</a>).</p>
<h3 id="theory-and-algorithms">Theory and algorithms</h3> <h3 id="theory-and-algorithms">Theory and algorithms</h3>
<p>The basic algorithm for optimization is the <a href="https://en.wikipedia.org/wiki/Simplex_algorithm">simplex algorithm</a>, developed by Dantzig in the 1940s to solve <a href="https://en.wikipedia.org/wiki/Linear_programming">linear programming</a> problems. It is the one of the main building blocks for mathematical optimization, and is used and referenced extensively in all kinds of approaches. As such, it is really important to understand it in detail. There are many books on the subject, but I especially liked <span class="citation" data-cites="chvatal1983_linear">Chvátal (<a href="#ref-chvatal1983_linear">1983</a>)</span> (out of print, but you can find cheap used versions on Amazon). It covers everything there is to know on the simplex algorithms (step-by-step explanations with simple examples, correctness and complexity analysis, computational and implementation considerations) and to many applications. I think it is overall the best introduction. <span class="citation" data-cites="vanderbei2014_linear">Vanderbei (<a href="#ref-vanderbei2014_linear">2014</a>)</span> follows a very similar outline, but contains more recent computational considerations<span><label for="sn-3" class="margin-toggle sidenote-number"></label><input type="checkbox" id="sn-3" class="margin-toggle" /><span class="sidenote">For all the details about practical implementations of the simplex algorithm, <span class="citation" data-cites="maros2003_comput">Maros (<a href="#ref-maros2003_comput">2003</a>)</span> is dedicated to the computational aspects and contains everything you will need.<br /> <p>The basic algorithm for optimization is the <a href="https://en.wikipedia.org/wiki/Simplex_algorithm">simplex algorithm</a>, developed by Dantzig in the 1940s to solve <a href="https://en.wikipedia.org/wiki/Linear_programming">linear programming</a> problems. It is the one of the main building blocks for mathematical optimization, and is used and referenced extensively in all kinds of approaches. As such, it is really important to understand it in detail. There are many books on the subject, but I especially liked <span class="citation" data-cites="chvatal1983_linear">Chvátal (<a href="#ref-chvatal1983_linear">1983</a>)</span> (out of print, but you can find cheap used versions on Amazon). It covers everything there is to know on the simplex algorithms (step-by-step explanations with simple examples, correctness and complexity analysis, computational and implementation considerations) and to many applications. I think it is overall the best introduction. <span class="citation" data-cites="vanderbei2014_linear">Vanderbei (<a href="#ref-vanderbei2014_linear">2014</a>)</span> follows a very similar outline, but contains more recent computational considerations<span><label for="sn-3" class="margin-toggle sidenote-number"></label><input type="checkbox" id="sn-3" class="margin-toggle" /><span class="sidenote">For all the details about practical implementations of the simplex algorithm, <span class="citation" data-cites="maros2003_comput">Maros (<a href="#ref-maros2003_comput">2003</a>)</span> is dedicated to the computational aspects and contains everything you will need.<br />
@ -92,6 +92,8 @@
<p>Regarding solvers, there is a <a href="http://www.juliaopt.org/JuMP.jl/stable/installation/#Getting-Solvers-1">list of solvers</a> on JuMP’s documentation, with their capabilities and their license. Free solvers include <a href="https://www.gnu.org/software/glpk/">GLPK</a> (linear programming), <a href="https://github.com/coin-or/Ipopt">Ipopt</a> (non-linear programming), and <a href="https://scip.zib.de/">SCIP</a> (mixed-integer linear programming).</p> <p>Regarding solvers, there is a <a href="http://www.juliaopt.org/JuMP.jl/stable/installation/#Getting-Solvers-1">list of solvers</a> on JuMP’s documentation, with their capabilities and their license. Free solvers include <a href="https://www.gnu.org/software/glpk/">GLPK</a> (linear programming), <a href="https://github.com/coin-or/Ipopt">Ipopt</a> (non-linear programming), and <a href="https://scip.zib.de/">SCIP</a> (mixed-integer linear programming).</p>
<p>Commercial solvers often have better performance, and some of them propose a free academic license: <a href="https://www.mosek.com/">MOSEK</a>, <a href="https://www.gurobi.com/">Gurobi</a>, and <a href="https://www.ibm.com/analytics/cplex-optimizer">IBM CPLEX</a> in particular all offer free academic licenses and work very well with JuMP.</p> <p>Commercial solvers often have better performance, and some of them propose a free academic license: <a href="https://www.mosek.com/">MOSEK</a>, <a href="https://www.gurobi.com/">Gurobi</a>, and <a href="https://www.ibm.com/analytics/cplex-optimizer">IBM CPLEX</a> in particular all offer free academic licenses and work very well with JuMP.</p>
<p>Another awesome resource is the <a href="https://neos-server.org/neos/">NEOS Server</a>. It offers free computing resources for numerical optimization, including all major free and commercial solvers! You can submit jobs on it in a standard format, or interface your favourite programming language with it. The fact that such an amazing resource exists for free, for everyone is extraordinary. They also have an accompanying book, the <a href="https://neos-guide.org/">NEOS Guide</a>, containing many case studies and description of problem types. The <a href="https://neos-guide.org/content/optimization-taxonomy">taxonomy</a> may be particularly useful.</p> <p>Another awesome resource is the <a href="https://neos-server.org/neos/">NEOS Server</a>. It offers free computing resources for numerical optimization, including all major free and commercial solvers! You can submit jobs on it in a standard format, or interface your favourite programming language with it. The fact that such an amazing resource exists for free, for everyone is extraordinary. They also have an accompanying book, the <a href="https://neos-guide.org/">NEOS Guide</a>, containing many case studies and description of problem types. The <a href="https://neos-guide.org/content/optimization-taxonomy">taxonomy</a> may be particularly useful.</p>
<h2 id="conclusion">Conclusion</h2>
<p>Operations research is a fascinating topic, and it has an abundant literature that makes it very easy to dive into the subject. If you are interested in algorithms, modelling for practical applications, or just wish to understand more, I hope to have given you the first steps to follow, start reading and experimenting.</p>
<h2 id="references" class="unnumbered">References</h2> <h2 id="references" class="unnumbered">References</h2>
<div id="refs" class="references"> <div id="refs" class="references">
<div id="ref-bertsimas1997_introd"> <div id="ref-bertsimas1997_introd">

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<title>Operations Research and Optimisation: where to start?</title> <title>Operations Research and Optimization: where to start?</title>
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<p><a href="https://en.wikipedia.org/wiki/Operations_research">Operations research</a> (OR) is a vast area comprising a lot of theory, different branches of mathematics, and too many applications to count. In this post, I will try to explain why I find it so fascinating, but also why it can be a little disconcerting to explore at first. Then I will try to ease the newcomer’s path in this rich area, by suggesting a very rough “map” of the field and a few references to get started.</p> <p><a href="https://en.wikipedia.org/wiki/Operations_research">Operations research</a> (OR) is a vast area comprising a lot of theory, different branches of mathematics, and too many applications to count. In this post, I will try to explain why it can be a little disconcerting to explore at first, and how to start investigating the topic with a few references to get started.</p>
<p>Keep in mind that although I studied it during my graduate studies, this is not my primary area of expertise (I’m a data scientist by trade), and I definitely don’t pretend to know everything in OR. This is a field too vast for any single person to understand in its entirety, and I talk mostly from a “amateur mathematician and computer scientist” standpoint.</p> <p>Keep in mind that although I studied it during my graduate studies, this is not my primary area of expertise (I’m a data scientist by trade), and I definitely don’t pretend to know everything in OR. This is a field too vast for any single person to understand in its entirety, and I talk mostly from an “amateur mathematician and computer scientist” standpoint.</p>
<h2 id="why-is-it-hard-to-approach">Why is it hard to approach?</h2> <h2 id="why-is-it-hard-to-approach">Why is it hard to approach?</h2>
<p>Operations research can be difficult to approach, since there are many references and subfields. Compared to machine learning for instance, OR has a slightly longer history (going back to the 17th century, for example with <a href="https://en.wikipedia.org/wiki/Gaspard_Monge">Monge</a> and the <a href="https://en.wikipedia.org/wiki/Transportation_theory_(mathematics)">optimal transport problem</a>)<span><label for="sn-1" class="margin-toggle">⊕</label><input type="checkbox" id="sn-1" class="margin-toggle" /><span class="marginnote"> For a very nice introduction (in French) to optimal transport, see these blog posts by <a href="https://twitter.com/gabrielpeyre">Gabriel Peyré</a>, on the CNRS maths blog: <a href="https://images.math.cnrs.fr/Le-transport-optimal-numerique-et-ses-applications-Partie-1.html">Part 1</a> and <a href="https://images.math.cnrs.fr/Le-transport-optimal-numerique-et-ses-applications-Partie-2.html">Part 2</a>. See also the resources on <a href="https://optimaltransport.github.io/">optimaltransport.github.io</a> (in English).<br /> <p>Operations research can be difficult to approach, since there are many references and subfields. Compared to machine learning for instance, OR has a slightly longer history (going back to the 17th century, for example with <a href="https://en.wikipedia.org/wiki/Gaspard_Monge">Monge</a> and the <a href="https://en.wikipedia.org/wiki/Transportation_theory_(mathematics)">optimal transport problem</a>)<span><label for="sn-1" class="margin-toggle">⊕</label><input type="checkbox" id="sn-1" class="margin-toggle" /><span class="marginnote"> For a very nice introduction (in French) to optimal transport, see these blog posts by <a href="https://twitter.com/gabrielpeyre">Gabriel Peyré</a>, on the CNRS maths blog: <a href="https://images.math.cnrs.fr/Le-transport-optimal-numerique-et-ses-applications-Partie-1.html">Part 1</a> and <a href="https://images.math.cnrs.fr/Le-transport-optimal-numerique-et-ses-applications-Partie-2.html">Part 2</a>. See also the resources on <a href="https://optimaltransport.github.io/">optimaltransport.github.io</a> (in English).<br />
<br /> <br />
@ -29,8 +29,8 @@
<p>For an overall introduction, I recommend <span class="citation" data-cites="wentzel1988_operat">Wentzel (<a href="#ref-wentzel1988_operat">1988</a>)</span>. It is an old book, published by Mir Publications, a Soviet publisher which published many excellent scientific textbooks<span><label for="sn-2" class="margin-toggle">⊕</label><input type="checkbox" id="sn-2" class="margin-toggle" /><span class="marginnote"> Mir also published <a href="https://mirtitles.org/2011/06/03/physics-for-everyone/"><em>Physics for Everyone</em></a> by Lev Landau and Alexander Kitaigorodsky, a three-volume introduction to physics that is really accessible. Together with Feynman’s famous <a href="https://www.feynmanlectures.caltech.edu/">lectures</a>, I read them (in French) when I was a kid, and it was the best introduction I could possibly have to the subject.<br /> <p>For an overall introduction, I recommend <span class="citation" data-cites="wentzel1988_operat">Wentzel (<a href="#ref-wentzel1988_operat">1988</a>)</span>. It is an old book, published by Mir Publications, a Soviet publisher which published many excellent scientific textbooks<span><label for="sn-2" class="margin-toggle">⊕</label><input type="checkbox" id="sn-2" class="margin-toggle" /><span class="marginnote"> Mir also published <a href="https://mirtitles.org/2011/06/03/physics-for-everyone/"><em>Physics for Everyone</em></a> by Lev Landau and Alexander Kitaigorodsky, a three-volume introduction to physics that is really accessible. Together with Feynman’s famous <a href="https://www.feynmanlectures.caltech.edu/">lectures</a>, I read them (in French) when I was a kid, and it was the best introduction I could possibly have to the subject.<br />
<br /> <br />
</span></span>. It is out of print, but it is available <a href="https://archive.org/details/WentzelOperationsResearchMir1983">on Archive.org</a>. The book is quite old, but everything presented is still extremely relevant today. It requires absolutely no background, and covers everything: a general introduction to the field, linear programming, dynamic programming, Markov processes and queues, Monte Carlo methods, and game theory. Even if you already know some of these topics, the presentations is so clear that it is a pleasure to read! (In particular, it is one of the best presentations of dynamic programming that I have ever read. The explanation of the simplex algorithm is also excellent.)</p> </span></span>. It is out of print, but it is available <a href="https://archive.org/details/WentzelOperationsResearchMir1983">on Archive.org</a>. The book is quite old, but everything presented is still extremely relevant today. It requires absolutely no background, and covers everything: a general introduction to the field, linear programming, dynamic programming, Markov processes and queues, Monte Carlo methods, and game theory. Even if you already know some of these topics, the presentations is so clear that it is a pleasure to read! (In particular, it is one of the best presentations of dynamic programming that I have ever read. The explanation of the simplex algorithm is also excellent.)</p>
<p>If you are interested in optimization, the first thing you have to learn is modelling, i.e. transforming your problem (described in natural language, often from a particular industrial application) into a mathematical programme. The mathematical programme is the structure on which you will be able to apply an algorithm to find an optimal solution. Even if (like me) you are initially more interested by the algorithmic side of things, learning to create models will shed a lot of light on the overall process, and will give you more insight in general on the reasoning behind algorithms.</p> <p>If you are interested in optimization, the first thing you have to learn is modelling, i.e. transforming your problem (described in natural language, often from a particular industrial application) into a mathematical programme. The mathematical programme is the structure on which you will be able to apply an algorithm to find an optimal solution. Even if (like me) you are initially more interested in the algorithmic side of things, learning to create models will shed a lot of light on the overall process, and will give you more insight in general on the reasoning behind algorithms.</p>
<p>The best book I have read on the subject is <span class="citation" data-cites="williams2013_model">Williams (<a href="#ref-williams2013_model">2013</a>)</span>. It contains a lot of concrete, step-by-step examples on concrete applications, in a multitude of domains, and remains very easy to read and to follow. It covers nearly every type of problem, so it is very useful as a reference. When you encounter a concrete problem in real life afterwards, you will know how to construct an appropriate model, and in the process you will often identify a common type of problem. The book then gives plenty of advice on how to best approach each type of problem. Finally, it is also a great resource to build a “mental map” of the field, avoiding to get lost in the jungle of linear, stochastic, mixed integer, quadratic, and other network problems.</p> <p>The best book I have read on the subject is <span class="citation" data-cites="williams2013_model">Williams (<a href="#ref-williams2013_model">2013</a>)</span>. It contains a lot of concrete, step-by-step examples on concrete applications, in a multitude of domains, and remains very easy to read and to follow. It covers nearly every type of problem, so it is very useful as a reference. When you encounter a concrete problem in real life afterwards, you will know how to construct an appropriate model, and in the process you will often identify a common type of problem. The book then gives plenty of advice on how to approach each type of problem. Finally, it is also a great resource to build a “mental map” of the field, avoiding getting lost in the jungle of linear, stochastic, mixed integer, quadratic, and other network problems.</p>
<p>Another interesting resource is the freely available <a href="https://docs.mosek.com/modeling-cookbook/index.html">MOSEK Modeling Cookbook</a>, covering many types of problems, with more mathematical details than in <span class="citation" data-cites="williams2013_model">Williams (<a href="#ref-williams2013_model">2013</a>)</span>. It is built for people wanting to use the commercial <a href="https://www.mosek.com/">MOSEK</a> solver, so it could be useful if you plan to use a solver package like this one (more details on solvers <a href="#solvers">below</a>).</p> <p>Another interesting resource is the freely available <a href="https://docs.mosek.com/modeling-cookbook/index.html">MOSEK Modeling Cookbook</a>, covering many types of problems, with more mathematical details than in <span class="citation" data-cites="williams2013_model">Williams (<a href="#ref-williams2013_model">2013</a>)</span>. It is built for people wanting to use the commercial <a href="https://www.mosek.com/">MOSEK</a> solver, so it could be useful if you plan to use a solver package like this one (more details on solvers <a href="#solvers">below</a>).</p>
<h3 id="theory-and-algorithms">Theory and algorithms</h3> <h3 id="theory-and-algorithms">Theory and algorithms</h3>
<p>The basic algorithm for optimization is the <a href="https://en.wikipedia.org/wiki/Simplex_algorithm">simplex algorithm</a>, developed by Dantzig in the 1940s to solve <a href="https://en.wikipedia.org/wiki/Linear_programming">linear programming</a> problems. It is the one of the main building blocks for mathematical optimization, and is used and referenced extensively in all kinds of approaches. As such, it is really important to understand it in detail. There are many books on the subject, but I especially liked <span class="citation" data-cites="chvatal1983_linear">Chvátal (<a href="#ref-chvatal1983_linear">1983</a>)</span> (out of print, but you can find cheap used versions on Amazon). It covers everything there is to know on the simplex algorithms (step-by-step explanations with simple examples, correctness and complexity analysis, computational and implementation considerations) and to many applications. I think it is overall the best introduction. <span class="citation" data-cites="vanderbei2014_linear">Vanderbei (<a href="#ref-vanderbei2014_linear">2014</a>)</span> follows a very similar outline, but contains more recent computational considerations<span><label for="sn-3" class="margin-toggle sidenote-number"></label><input type="checkbox" id="sn-3" class="margin-toggle" /><span class="sidenote">For all the details about practical implementations of the simplex algorithm, <span class="citation" data-cites="maros2003_comput">Maros (<a href="#ref-maros2003_comput">2003</a>)</span> is dedicated to the computational aspects and contains everything you will need.<br /> <p>The basic algorithm for optimization is the <a href="https://en.wikipedia.org/wiki/Simplex_algorithm">simplex algorithm</a>, developed by Dantzig in the 1940s to solve <a href="https://en.wikipedia.org/wiki/Linear_programming">linear programming</a> problems. It is the one of the main building blocks for mathematical optimization, and is used and referenced extensively in all kinds of approaches. As such, it is really important to understand it in detail. There are many books on the subject, but I especially liked <span class="citation" data-cites="chvatal1983_linear">Chvátal (<a href="#ref-chvatal1983_linear">1983</a>)</span> (out of print, but you can find cheap used versions on Amazon). It covers everything there is to know on the simplex algorithms (step-by-step explanations with simple examples, correctness and complexity analysis, computational and implementation considerations) and to many applications. I think it is overall the best introduction. <span class="citation" data-cites="vanderbei2014_linear">Vanderbei (<a href="#ref-vanderbei2014_linear">2014</a>)</span> follows a very similar outline, but contains more recent computational considerations<span><label for="sn-3" class="margin-toggle sidenote-number"></label><input type="checkbox" id="sn-3" class="margin-toggle" /><span class="sidenote">For all the details about practical implementations of the simplex algorithm, <span class="citation" data-cites="maros2003_comput">Maros (<a href="#ref-maros2003_comput">2003</a>)</span> is dedicated to the computational aspects and contains everything you will need.<br />
@ -59,6 +59,8 @@
<p>Regarding solvers, there is a <a href="http://www.juliaopt.org/JuMP.jl/stable/installation/#Getting-Solvers-1">list of solvers</a> on JuMP’s documentation, with their capabilities and their license. Free solvers include <a href="https://www.gnu.org/software/glpk/">GLPK</a> (linear programming), <a href="https://github.com/coin-or/Ipopt">Ipopt</a> (non-linear programming), and <a href="https://scip.zib.de/">SCIP</a> (mixed-integer linear programming).</p> <p>Regarding solvers, there is a <a href="http://www.juliaopt.org/JuMP.jl/stable/installation/#Getting-Solvers-1">list of solvers</a> on JuMP’s documentation, with their capabilities and their license. Free solvers include <a href="https://www.gnu.org/software/glpk/">GLPK</a> (linear programming), <a href="https://github.com/coin-or/Ipopt">Ipopt</a> (non-linear programming), and <a href="https://scip.zib.de/">SCIP</a> (mixed-integer linear programming).</p>
<p>Commercial solvers often have better performance, and some of them propose a free academic license: <a href="https://www.mosek.com/">MOSEK</a>, <a href="https://www.gurobi.com/">Gurobi</a>, and <a href="https://www.ibm.com/analytics/cplex-optimizer">IBM CPLEX</a> in particular all offer free academic licenses and work very well with JuMP.</p> <p>Commercial solvers often have better performance, and some of them propose a free academic license: <a href="https://www.mosek.com/">MOSEK</a>, <a href="https://www.gurobi.com/">Gurobi</a>, and <a href="https://www.ibm.com/analytics/cplex-optimizer">IBM CPLEX</a> in particular all offer free academic licenses and work very well with JuMP.</p>
<p>Another awesome resource is the <a href="https://neos-server.org/neos/">NEOS Server</a>. It offers free computing resources for numerical optimization, including all major free and commercial solvers! You can submit jobs on it in a standard format, or interface your favourite programming language with it. The fact that such an amazing resource exists for free, for everyone is extraordinary. They also have an accompanying book, the <a href="https://neos-guide.org/">NEOS Guide</a>, containing many case studies and description of problem types. The <a href="https://neos-guide.org/content/optimization-taxonomy">taxonomy</a> may be particularly useful.</p> <p>Another awesome resource is the <a href="https://neos-server.org/neos/">NEOS Server</a>. It offers free computing resources for numerical optimization, including all major free and commercial solvers! You can submit jobs on it in a standard format, or interface your favourite programming language with it. The fact that such an amazing resource exists for free, for everyone is extraordinary. They also have an accompanying book, the <a href="https://neos-guide.org/">NEOS Guide</a>, containing many case studies and description of problem types. The <a href="https://neos-guide.org/content/optimization-taxonomy">taxonomy</a> may be particularly useful.</p>
<h2 id="conclusion">Conclusion</h2>
<p>Operations research is a fascinating topic, and it has an abundant literature that makes it very easy to dive into the subject. If you are interested in algorithms, modelling for practical applications, or just wish to understand more, I hope to have given you the first steps to follow, start reading and experimenting.</p>
<h2 id="references" class="unnumbered">References</h2> <h2 id="references" class="unnumbered">References</h2>
<div id="refs" class="references"> <div id="refs" class="references">
<div id="ref-bertsimas1997_introd"> <div id="ref-bertsimas1997_introd">
@ -101,7 +103,7 @@
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<pubDate>Tue, 26 May 2020 00:00:00 UT</pubDate> <pubDate>Wed, 27 May 2020 00:00:00 UT</pubDate>
<guid>https://www.lozeve.com/posts/operations-research-references.html</guid> <guid>https://www.lozeve.com/posts/operations-research-references.html</guid>
<dc:creator>Dimitri Lozeve</dc:creator> <dc:creator>Dimitri Lozeve</dc:creator>
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@ -1,22 +1,20 @@
--- ---
title: "Operations Research and Optimisation: where to start?" title: "Operations Research and Optimization: where to start?"
date: 2020-05-26 date: 2020-05-27
--- ---
[[https://en.wikipedia.org/wiki/Operations_research][Operations research]] (OR) is a vast area comprising a lot of theory, [[https://en.wikipedia.org/wiki/Operations_research][Operations research]] (OR) is a vast area comprising a lot of theory,
different branches of mathematics, and too many applications to different branches of mathematics, and too many applications to
count. In this post, I will try to explain why I find it so count. In this post, I will try to explain why it can be a little
fascinating, but also why it can be a little disconcerting to explore disconcerting to explore at first, and how to start investigating the
at first. Then I will try to ease the newcomer's path in this rich topic with a few references to get started.
area, by suggesting a very rough "map" of the field and a few
references to get started.
Keep in mind that although I studied it during my graduate studies, Keep in mind that although I studied it during my graduate studies,
this is not my primary area of expertise (I'm a data scientist by this is not my primary area of expertise (I'm a data scientist by
trade), and I definitely don't pretend to know everything in OR. This trade), and I definitely don't pretend to know everything in OR. This
is a field too vast for any single person to understand in its is a field too vast for any single person to understand in its
entirety, and I talk mostly from a "amateur mathematician and computer entirety, and I talk mostly from an "amateur mathematician and
scientist" standpoint. computer scientist" standpoint.
* Why is it hard to approach? * Why is it hard to approach?
@ -78,7 +76,7 @@ learn is modelling, i.e. transforming your problem (described in
natural language, often from a particular industrial application) into natural language, often from a particular industrial application) into
a mathematical programme. The mathematical programme is the structure a mathematical programme. The mathematical programme is the structure
on which you will be able to apply an algorithm to find an optimal on which you will be able to apply an algorithm to find an optimal
solution. Even if (like me) you are initially more interested by the solution. Even if (like me) you are initially more interested in the
algorithmic side of things, learning to create models will shed a lot algorithmic side of things, learning to create models will shed a lot
of light on the overall process, and will give you more insight in of light on the overall process, and will give you more insight in
general on the reasoning behind algorithms. general on the reasoning behind algorithms.
@ -91,10 +89,10 @@ of problem, so it is very useful as a reference. When you encounter a
concrete problem in real life afterwards, you will know how to concrete problem in real life afterwards, you will know how to
construct an appropriate model, and in the process you will often construct an appropriate model, and in the process you will often
identify a common type of problem. The book then gives plenty of identify a common type of problem. The book then gives plenty of
advice on how to best approach each type of problem. Finally, it is advice on how to approach each type of problem. Finally, it is also a
also a great resource to build a "mental map" of the field, avoiding great resource to build a "mental map" of the field, avoiding getting
to get lost in the jungle of linear, stochastic, mixed integer, lost in the jungle of linear, stochastic, mixed integer, quadratic,
quadratic, and other network problems. and other network problems.
Another interesting resource is the freely available [[https://docs.mosek.com/modeling-cookbook/index.html][MOSEK Modeling Another interesting resource is the freely available [[https://docs.mosek.com/modeling-cookbook/index.html][MOSEK Modeling
Cookbook]], covering many types of problems, with more mathematical Cookbook]], covering many types of problems, with more mathematical
@ -214,4 +212,12 @@ extraordinary. They also have an accompanying book, the [[https://neos-guide.org
containing many case studies and description of problem types. The containing many case studies and description of problem types. The
[[https://neos-guide.org/content/optimization-taxonomy][taxonomy]] may be particularly useful. [[https://neos-guide.org/content/optimization-taxonomy][taxonomy]] may be particularly useful.
* Conclusion
Operations research is a fascinating topic, and it has an abundant
literature that makes it very easy to dive into the subject. If you
are interested in algorithms, modelling for practical applications, or
just wish to understand more, I hope to have given you the first steps
to follow, start reading and experimenting.
* References * References