Optimization over Integers with Robustness in Cost and Few Constraints

Robust optimization is an approach for optimization under uncertainty that has recently attracted attention both from theory and practitioners. While there is an elaborate and powerful machinery for continuous robust optimization problems, results on robust combinatorial optimization and robust linear integer programs are still rare and hardly general. In a seminal paper Bertsimas and Sim (2003) show that for an arbitrary, linear 0-1-problem, over which one can optimize, one can also optimize the cost-robust counterpart. They explicitly note that this method is confined to binary problems. We present a result of this type for general integer programs. Further, we extend the result to integer programs with uncertainty in one constraint

The robust single machine scheduling problem with uncertain release and processing times

In this work, we study the single machine scheduling problem with uncertain release times and processing times of jobs. We adopt a robust scheduling approach, in which the measure of robustness to be minimized for a given sequence of jobs is the worst-case objective function value from the set of all possible realizations of release and processing times. The objective function value is the total flow time of all jobs. We discuss some important properties of robust schedules for zero and non-zero release times, and illustrate the added complexity in robust scheduling given non-zero release times. We propose heuristics based on variable neighborhood search and iterated local search to solve the problem and generate robust schedules. The algorithms are tested and their solution performance is compared with optimal solutions or lower bounds through numerical experiments based on synthetic data

Parallel local search for solving Constraint Problems on the Cell Broadband Engine (Preliminary Results)

We explore the use of the Cell Broadband Engine (Cell/BE for short) for combinatorial optimization applications: we present a parallel version of a constraint-based local search algorithm that has been implemented on a multiprocessor BladeCenter machine with twin Cell/BE processors (total of 16 SPUs per blade). This algorithm was chosen because it fits very well the Cell/BE architecture and requires neither shared memory nor communication between processors, while retaining a compact memory footprint. We study the performance on several large optimization benchmarks and show that this achieves mostly linear time speedups, even sometimes super-linear. This is possible because the parallel implementation might explore simultaneously different parts of the search space and therefore converge faster towards the best sub-space and thus towards a solution. Besides getting speedups, the resulting times exhibit a much smaller variance, which benefits applications where a timely reply is critical

Best-case performance of quantum annealers on native spin-glass benchmarks: How chaos can affect success probabilities

Recent tests performed on the D-Wave Two quantum annealer have revealed no clear evidence of speedup over conventional silicon-based technologies. Here, we present results from classical parallel-tempering Monte Carlo simulations combined with isoenergetic cluster moves of the archetypal benchmark problem-an Ising spin glass-on the native chip topology. Using realistic uncorrelated noise models for the D-Wave Two quantum annealer, we study the best-case resilience, i.e., the probability that the ground-state configuration is not affected by random fields and random-bond fluctuations found on the chip. We thus compute classical upper-bound success probabilities for different types of disorder used in the benchmarks and predict that an increase in the number of qubits will require either error correction schemes or a drastic reduction of the intrinsic noise found in these devices. We outline strategies to develop robust, as well as hard benchmarks for quantum annealing devices, as well as any other computing paradigm affected by noise.Comment: 8 pages, 5 figure

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