Robust optimization with incremental recourse

In this paper, we consider an adaptive approach to address optimization problems with uncertain cost parameters. Here, the decision maker selects an initial decision, observes the realization of the uncertain cost parameters, and then is permitted to modify the initial decision. We treat the uncertainty using the framework of robust optimization in which uncertain parameters lie within a given set. The decision maker optimizes so as to develop the best cost guarantee in terms of the worst-case analysis. The recourse decision is ``incremental"; that is, the decision maker is permitted to change the initial solution by a small fixed amount. We refer to the resulting problem as the robust incremental problem. We study robust incremental variants of several optimization problems. We show that the robust incremental counterpart of a linear program is itself a linear program if the uncertainty set is polyhedral. Hence, it is solvable in polynomial time. We establish the NP-hardness for robust incremental linear programming for the case of a discrete uncertainty set. We show that the robust incremental shortest path problem is NP-complete when costs are chosen from a polyhedral uncertainty set, even in the case that only one new arc may be added to the initial path. We also address the complexity of several special cases of the robust incremental shortest path problem and the robust incremental minimum spanning tree problem

Stochastic Vehicle Routing with Recourse

We study the classic Vehicle Routing Problem in the setting of stochastic optimization with recourse. StochVRP is a two-stage optimization problem, where demand is satisfied using two routes: fixed and recourse. The fixed route is computed using only a demand distribution. Then after observing the demand instantiations, a recourse route is computed -- but costs here become more expensive by a factor lambda. We present an O(log^2 n log(n lambda))-approximation algorithm for this stochastic routing problem, under arbitrary distributions. The main idea in this result is relating StochVRP to a special case of submodular orienteering, called knapsack rank-function orienteering. We also give a better approximation ratio for knapsack rank-function orienteering than what follows from prior work. Finally, we provide a Unique Games Conjecture based omega(1) hardness of approximation for StochVRP, even on star-like metrics on which our algorithm achieves a logarithmic approximation.Comment: 20 Pages, 1 figure Revision corrects the statement and proof of Theorem 1.

Stochastic shortest path problems with recourse

Caption title.Includes bibliographical references (p. 22-23).Supported by the C.S. Draper Laboratory. DL-H-441625 Supported by a grant from Siemens A.G.George H. Polychronopoulos, John N. Tsitsiklis

A Dynamic Shortest Paths Toolbox: Low-Congestion Vertex Sparsifiers and their Applications

We present a general toolbox, based on new vertex sparsifiers, for designing data structures to maintain shortest paths in dynamic graphs. In an $m$-edge graph undergoing edge insertions and deletions, our data structures give the first algorithms for maintaining (a) $m^{o(1)}$-approximate all-pairs shortest paths (APSP) with \emph{worst-case} update time $m^{o(1)}$ and query time $\tilde{O}(1)$, and (b) a tree $T$ that has diameter no larger than a subpolynomial factor times the diameter of the underlying graph, where each update is handled in amortized subpolynomial time. In graphs undergoing only edge deletions, we develop a simpler and more efficient data structure to maintain a $(1+\epsilon)$-approximate single-source shortest paths (SSSP) tree $T$ in a graph undergoing edge deletions in amortized time $m^{o(1)}$ per update. Our data structures are deterministic. The trees we can maintain are not subgraphs of $G$, but embed with small edge congestion into $G$. This is in stark contrast to previous approaches and is useful for algorithms that internally use trees to route flow. To illustrate the power of our new toolbox, we show that our SSSP data structure gives simple deterministic implementations of flow-routing MWU methods in several contexts, where previously only randomized methods had been known. To obtain our toolbox, we give the first algorithm that, given a graph $G$ undergoing edge insertions and deletions and a dynamic terminal set $A$, maintains a vertex sparsifier $H$ that approximately preserves distances between terminals in $A$, consists of at most $|A|m^{o(1)}$ vertices and edges, and can be updated in worst-case time $m^{o(1)}$. Crucially, our vertex sparsifier construction allows us to maintain a low edge-congestion embedding of $H$ into $G$, which is needed for our applications