Algorithm Engineering in Robust Optimization

Robust optimization is a young and emerging field of research having received a considerable increase of interest over the last decade. In this paper, we argue that the the algorithm engineering methodology fits very well to the field of robust optimization and yields a rewarding new perspective on both the current state of research and open research directions. To this end we go through the algorithm engineering cycle of design and analysis of concepts, development and implementation of algorithms, and theoretical and experimental evaluation. We show that many ideas of algorithm engineering have already been applied in publications on robust optimization. Most work on robust optimization is devoted to analysis of the concepts and the development of algorithms, some papers deal with the evaluation of a particular concept in case studies, and work on comparison of concepts just starts. What is still a drawback in many papers on robustness is the missing link to include the results of the experiments again in the design

Prepare for the Expected Worst: Algorithms for Reconfigurable Resources Under Uncertainty

In this paper we study how to optimally balance cheap inflexible resources with more expensive, reconfigurable resources despite uncertainty in the input problem. Specifically, we introduce the MinEMax model to study "build versus rent" problems. In our model different scenarios appear independently. Before knowing which scenarios appear, we may build rigid resources that cannot be changed for different scenarios. Once we know which scenarios appear, we are allowed to rent reconfigurable but expensive resources to use across scenarios. Although computing the objective in our model might seem to require enumerating exponentially-many possibilities, we show it is well estimated by a surrogate objective which is representable by a polynomial-size LP. In this surrogate objective we pay for each scenario only to the extent that it exceeds a certain threshold. Using this objective we design algorithms that approximately-optimally balance inflexible and reconfigurable resources for several NP-hard covering problems. For example, we study variants of minimum spanning and Steiner trees, minimum cuts, and facility location. Up to constants, our approximation guarantees match those of previously-studied algorithms for demand-robust and stochastic two-stage models. Lastly, we demonstrate that our problem is sufficiently general to smoothly interpolate between previous demand-robust and stochastic two-stage problems