8,423 research outputs found
Approximation algorithms for stochastic and risk-averse optimization
We present improved approximation algorithms in stochastic optimization. We
prove that the multi-stage stochastic versions of covering integer programs
(such as set cover and vertex cover) admit essentially the same approximation
algorithms as their standard (non-stochastic) counterparts; this improves upon
work of Swamy \& Shmoys which shows an approximability that depends
multiplicatively on the number of stages. We also present approximation
algorithms for facility location and some of its variants in the -stage
recourse model, improving on previous approximation guarantees. We give a
-approximation algorithm in the standard polynomial-scenario model and
an algorithm with an expected per-scenario -approximation guarantee,
which is applicable to the more general black-box distribution model.Comment: Extension of a SODA'07 paper. To appear in SIAM J. Discrete Mat
Approximation Algorithms for Distributionally Robust Stochastic Optimization with Black-Box Distributions
Two-stage stochastic optimization is a framework for modeling uncertainty,
where we have a probability distribution over possible realizations of the
data, called scenarios, and decisions are taken in two stages: we make
first-stage decisions knowing only the underlying distribution and before a
scenario is realized, and may take additional second-stage recourse actions
after a scenario is realized. The goal is typically to minimize the total
expected cost. A criticism of this model is that the underlying probability
distribution is itself often imprecise! To address this, a versatile approach
that has been proposed is the {\em distributionally robust 2-stage model}:
given a collection of probability distributions, our goal now is to minimize
the maximum expected total cost with respect to a distribution in this
collection.
We provide a framework for designing approximation algorithms in such
settings when the collection is a ball around a central distribution and the
central distribution is accessed {\em only via a sampling black box}.
We first show that one can utilize the {\em sample average approximation}
(SAA) method to reduce the problem to the case where the central distribution
has {\em polynomial-size} support. We then show how to approximately solve a
fractional relaxation of the SAA (i.e., polynomial-scenario
central-distribution) problem. By complementing this via LP-rounding algorithms
that provide {\em local} (i.e., per-scenario) approximation guarantees, we
obtain the {\em first} approximation algorithms for the distributionally robust
versions of a variety of discrete-optimization problems including set cover,
vertex cover, edge cover, facility location, and Steiner tree, with guarantees
that are, except for set cover, within -factors of the guarantees known
for the deterministic version of the problem
Tight Analysis of a Multiple-Swap Heuristic for Budgeted Red-Blue Median
Budgeted Red-Blue Median is a generalization of classic -Median in that
there are two sets of facilities, say and , that can
be used to serve clients located in some metric space. The goal is to open
facilities in and facilities in for
some given bounds and connect each client to their nearest open
facility in a way that minimizes the total connection cost.
We extend work by Hajiaghayi, Khandekar, and Kortsarz [2012] and show that a
multiple-swap local search heuristic can be used to obtain a
-approximation for Budgeted Red-Blue Median for any constant
. This is an improvement over their single swap analysis and
beats the previous best approximation guarantee of 8 by Swamy [2014].
We also present a matching lower bound showing that for every ,
there are instances of Budgeted Red-Blue Median with local optimum solutions
for the -swap heuristic whose cost is
times the optimum solution cost. Thus, our analysis is tight up to the lower
order terms. In particular, for any we show the single-swap
heuristic admits local optima whose cost can be as bad as times
the optimum solution cost
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