A PTAS for a Class of Stochastic Dynamic Programs

We develop a framework for obtaining polynomial time approximation schemes (PTAS) for a class of stochastic dynamic programs. Using our framework, we obtain the first PTAS for the following stochastic combinatorial optimization problems: 1) Probemax [Munagala, 2016]: We are given a set of n items, each item i in [n] has a value X_i which is an independent random variable with a known (discrete) distribution pi_i. We can probe a subset P subseteq [n] of items sequentially. Each time after {probing} an item i, we observe its value realization, which follows the distribution pi_i. We can adaptively probe at most m items and each item can be probed at most once. The reward is the maximum among the m realized values. Our goal is to design an adaptive probing policy such that the expected value of the reward is maximized. To the best of our knowledge, the best known approximation ratio is 1-1/e, due to Asadpour et al. [Asadpour and Nazerzadeh, 2015]. We also obtain PTAS for some generalizations and variants of the problem. 2) Committed Pandora\u27s Box [Weitzman, 1979; Singla, 2018]: We are given a set of n boxes. For each box i in [n], the cost c_i is deterministic and the value X_i is an independent random variable with a known (discrete) distribution pi_i. Opening a box i incurs a cost of c_i. We can adaptively choose to open the boxes (and observe their values) or stop. We want to maximize the expectation of the realized value of the last opened box minus the total opening cost. 3) Stochastic Target [{I}lhan et al., 2011]: Given a predetermined target T and n items, we can adaptively insert the items into a knapsack and insert at most m items. Each item i has a value X_i which is an independent random variable with a known (discrete) distribution. Our goal is to design an adaptive policy such that the probability of the total values of all items inserted being larger than or equal to T is maximized. We provide the first bi-criteria PTAS for the problem. 4) Stochastic Blackjack Knapsack [Levin and Vainer, 2014]: We are given a knapsack of capacity C and probability distributions of n independent random variables X_i. Each item i in [n] has a size X_i and a profit p_i. We can adaptively insert the items into a knapsack, as long as the capacity constraint is not violated. We want to maximize the expected total profit of all inserted items. If the capacity constraint is violated, we lose all the profit. We provide the first bi-criteria PTAS for the problem

(Near) Optimal Adaptivity Gaps for Stochastic Multi-Value Probing

Consider a kidney-exchange application where we want to find a max-matching in a random graph. To find whether an edge e exists, we need to perform an expensive test, in which case the edge e appears independently with a known probability p_e. Given a budget on the total cost of the tests, our goal is to find a testing strategy that maximizes the expected maximum matching size. The above application is an example of the stochastic probing problem. In general the optimal stochastic probing strategy is difficult to find because it is adaptive - decides on the next edge to probe based on the outcomes of the probed edges. An alternate approach is to show the adaptivity gap is small, i.e., the best non-adaptive strategy always has a value close to the best adaptive strategy. This allows us to focus on designing non-adaptive strategies that are much simpler. Previous works, however, have focused on Bernoulli random variables that can only capture whether an edge appears or not. In this work we introduce a multi-value stochastic probing problem, which can also model situations where the weight of an edge has a probability distribution over multiple values. Our main technical contribution is to obtain (near) optimal bounds for the (worst-case) adaptivity gaps for multi-value stochastic probing over prefix-closed constraints. For a monotone submodular function, we show the adaptivity gap is at most 2 and provide a matching lower bound. For a weighted rank function of a k-extendible system (a generalization of intersection of k matroids), we show the adaptivity gap is between O(k log k) and k. None of these results were known even in the Bernoulli case where both our upper and lower bounds also apply, thereby resolving an open question of Gupta et al. [Gupta et al., 2017]

Algorithms and Adaptivity Gaps for Stochastic k-TSP

Given a metric $(V,d)$ and a $\textsf{root} \in V$, the classic \textsf{k-TSP} problem is to find a tour originating at the $\textsf{root}$ of minimum length that visits at least $k$ nodes in $V$. In this work, motivated by applications where the input to an optimization problem is uncertain, we study two stochastic versions of \textsf{k-TSP}. In Stoch-Reward $k$-TSP, originally defined by Ene-Nagarajan-Saket [ENS17], each vertex $v$ in the given metric $(V,d)$ contains a stochastic reward $R_v$. The goal is to adaptively find a tour of minimum expected length that collects at least reward $k$; here "adaptively" means our next decision may depend on previous outcomes. Ene et al. give an $O(\log k)$-approximation adaptive algorithm for this problem, and left open if there is an $O(1)$-approximation algorithm. We totally resolve their open question and even give an $O(1)$-approximation \emph{non-adaptive} algorithm for this problem. We also introduce and obtain similar results for the Stoch-Cost $k$-TSP problem. In this problem each vertex $v$ has a stochastic cost $C_v$, and the goal is to visit and select at least $k$ vertices to minimize the expected \emph{sum} of tour length and cost of selected vertices. This problem generalizes the Price of Information framework [Singla18] from deterministic probing costs to metric probing costs. Our techniques are based on two crucial ideas: "repetitions" and "critical scaling". We show using Freedman's and Jogdeo-Samuels' inequalities that for our problems, if we truncate the random variables at an ideal threshold and repeat, then their expected values form a good surrogate. Unfortunately, this ideal threshold is adaptive as it depends on how far we are from achieving our target $k$, so we truncate at various different scales and identify a "critical" scale.Comment: ITCS 202

Order Selection Problems in Hiring Pipelines

Motivated by hiring pipelines, we study two order selection problems in which applicants for a finite set of positions must be interviewed or made offers sequentially. There is a finite time budget for interviewing or making offers, and a stochastic realization after each decision, leading to computationally-challenging problems. In the first problem we study sequential interviewing, and show that a computationally-tractable, non-adaptive policy that must make offers immediately after interviewing is approximately optimal, assuming offerees always accept their offers. In the second problem, we assume that applicants have already been interviewed but only accept offers with some probability; we develop a computationally-tractable policy that makes offers for the different positions in parallel, which is approximately optimal even relative to a policy that does not need to make parallel offers. Our two results both generalize and improve the guarantees in the work of Purohit et al. on hiring algorithms, from 1/2 and 1/4 to approximation factors that are at least 1-1/e

Efficient Approximation Schemes for Stochastic Probing and Prophet Problems

Our main contribution is a general framework to design efficient polynomial time approximation schemes (EPTAS) for fundamental classes of stochastic combinatorial optimization problems. Given an error parameter $\epsilon>0$, such algorithmic schemes attain a $(1+\epsilon)$-approximation in only $t(\epsilon)\cdot poly(n)$ time, where $t(\cdot)$ is some function that depends only on $\epsilon$. Technically speaking, our approach relies on presenting tailor-made reductions to a newly-introduced multi-dimensional extension of the Santa Claus problem [Bansal-Sviridenko, STOC'06]. Even though the single-dimensional problem is already known to be APX-Hard, we prove that an EPTAS can be designed under certain structural assumptions, which hold for our applications. To demonstrate the versatility of our framework, we obtain an EPTAS for the adaptive ProbeMax problem as well as for its non-adaptive counterpart; in both cases, state-of-the-art approximability results have been inefficient polynomial time approximation schemes (PTAS) [Chen et al., NIPS'16; Fu et al., ICALP'18]. Turning our attention to selection-stopping settings, we further derive an EPTAS for the Free-Order Prophets problem [Agrawal et al., EC'20] and for its cost-driven generalization, Pandora's Box with Commitment [Fu et al., ICALP'18]. These results improve on known PTASes for their adaptive variants, and constitute the first non-trivial approximations in the non-adaptive setting.Comment: 33 page

New benchmarking techniques in resource allocation problems: theory and applications in cloud systems

Motivated by different e-commerce applications such as allocating virtual machines to servers and online ad placement, we study new models that aim to capture unstudied tensions faced by decision-makers. In online/sequential models, future information is often unavailable to decision-makers---e.g., the exact demand of a product for next week. Sometimes, these unknowns have regularity, and decision-makers can fit random models. Other times, decision-makers must be prepared for any possible outcome. In practice, several solutions are based on classical models that do not fully consider these unknowns. One reason for this is our present technical limitations. Exploring new models with adequate sources of uncertainty could be beneficial for both the theory and the practice of decision-making. For example, cloud companies such as Amazon WS face highly unpredictable demands of resources. New management planning that considers these tensions have improved capacity and cut costs for the cloud providers. As a result, cloud companies can now offer new services at lower prices benefiting thousands of users. In this thesis, we study three different models, each motivated by an application in cloud computing and online advertising. From a technical standpoint, we apply either worst-case analysis with limited information from the system or adaptive analysis with stochastic results learned after making an irrevocable decision. A central aspect of this work is dynamic benchmarks as opposed to static or offline ones. Static and offline viewpoints are too conservative and have limited interpretation in some dynamic settings. A dynamic criterion, such as the value of an optimal sequential policy, allows comparisons with the best that one could do in dynamic scenarios. Another aspect of this work is multi-objective criteria in dynamic settings, where two or more competing goals must be satisfied under an uncertain future. We tackle the challenges introduced by these new perspectives with fresh theoretical analyses, drawing inspiration from linear and nonlinear optimization and stochastic processes.Ph.D