We present a data-driven framework for incorporating side information in dynamic optimization under uncertainty. Specifically, our approach uses predictive machine learning methods (such as k-nearest neighbors, kernel regression, and random forests) to weight the relative importance of various data-driven uncertainty sets in a robust optimization formulation. Through a novel measure concentration result for local machine learning methods, we prove that the proposed framework is asymptotically optimal for stochastic dynamic optimization with covariates. We also describe a general-purpose approximation for the proposed framework, based on overlapping linear decision rules, which is computationally tractable and produces high-quality solutions for dynamic problems with many stages. Across a variety of examples in shipment planning, inventory management, and finance, our method achieves improvements of up to 15 over alternatives and requires less than one minute of computation time on problems with twelve stages.
Several recent papers have focused on tractable approximations of two- and multi-stage and robust optimization. Many approaches are based around policy approximation schemes, including lifted linear decision rules , @math -adaptivity , and finite adaptability . Alternative approaches include tractable approximations of copositive formulations . Closest related to the approximation scheme in this paper are @cite_1 and @cite_13 , which address two-stage problems via overlapping decision rules. @cite_1 propose a modeling approach that leads to novel approximations of various distributionally robust applications, including two-stage distributionally robust optimization using Wasserstein ambiguity sets and expectations of piecewise convex objective functions in single-stage problems. Independently, @cite_13 investigate a of two-stage sample robust optimization by optimizing a separate linear decision rule for each uncertainty set and prove that this approximation gap converges to zero as the amount of data goes to infinity. In of this paper, we show how to extend similar techniques to dynamic problems with many stages for the first time.
@cite_13 @cite_1
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We investigate a data-driven approach to two-stage stochastic linear optimization in which an uncertainty set is constructed around each data point. We propose an approximation algorithm for these sample robust optimization problems by optimizing a separate linear decision rule for each uncertainty set. We show that the proposed algorithm combines the asymptotic optimality and scalability of the sample average approximation while simultaneously offering improved out-of-sample performance guarantees. The practical value of our method is demonstrated in network inventory management and hospital scheduling. Distributionally robust optimization is a paradigm for decision making under uncertainty where the uncertain problem data are governed by a probability distribution that is itself subject to uncertainty. The distribution is then assumed to belong to an ambiguity set comprising all distributions that are compatible with the decision maker's prior information. In this paper, we propose a unifying framework for modeling and solving distributionally robust optimization problems. We introduce standardized ambiguity sets that contain all distributions with prescribed conic representable confidence sets and with mean values residing on an affine manifold. These ambiguity sets are highly expressive and encompass many ambiguity sets from the recent literature as special cases. They also allow us to characterize distributional families in terms of several classical and or robust statistical indicators that have not yet been studied in the context of robust optimization. We determine conditions under which distributionally robust optimization problems based on our standardized ambiguity sets are computationally tractable. We also provide tractable conservative approximations for problems that violate these conditions. Robust optimization has traditionally focused on uncertainty in data and costs in optimization problems to formulate models whose solutions will be optimal in the worst-case among the various uncertain scenarios in the model. While these approaches may be thought of defining data- or cost-robust problems, we formulate a new "demand-robust" model motivated by recent work on two-stage stochastic optimization problems. We propose this in the framework of general covering problems and prove a general structural lemma about special types of first-stage solutions for such problems: there exists a first-stage solution that is a minimal feasible solution for the union of the demands for some subset of the scenarios and its objective function value is no more than twice the optimal. We then provide approximation algorithms for a variety of standard discrete covering problems in this setting, including minimum cut, minimum multi-cut, shortest paths, Steiner trees, vertex cover and un-capacitated facility location. While many of our results draw from rounding approaches recently developed for stochastic programming problems, we also show new applications of old metric rounding techniques for cut problems in this demand-robust setting. Stochastic programming provides a versatile framework for decision-making under uncertainty, but the resulting optimization problems can be computationally demanding. It has recently been shown that primal and dual linear decision rule approximations can yield tractable upper and lower bounds on the optimal value of a stochastic program. Unfortunately, linear decision rules often provide crude approximations that result in loose bounds. To address this problem, we propose a lifting technique that maps a given stochastic program to an equivalent problem on a higher-dimensional probability space. We prove that solving the lifted problem in primal and dual linear decision rules provides tighter bounds than those obtained from applying linear decision rules to the original problem. We also show that there is a one-to-one correspondence between linear decision rules in the lifted problem and families of nonlinear decision rules in the original problem. Finally, we identify structured liftings that give rise to highly flexible piecewise linear and nonlinear decision rules, and we assess their performance in the context of a dynamic production planning problem. Abstract A large number of problems in production planning and scheduling, location, transportation, finance, and engineering design require that decisions be made in the presence of uncertainty. Uncertainty, for instance, governs the prices of fuels, the availability of electricity, and the demand for chemicals. A key difficulty in optimization under uncertainty is in dealing with an uncertainty space that is huge and frequently leads to very large-scale optimization models. Decision-making under uncertainty is often further complicated by the presence of integer decision variables to model logical and other discrete decisions in a multi-period or multi-stage setting. This paper reviews theory and methodology that have been developed to cope with the complexity of optimization problems under uncertainty. We discuss and contrast the classical recourse-based stochastic programming, robust stochastic programming, probabilistic (chance-constraint) programming, fuzzy programming, and stochastic dynamic programming. The advantages and shortcomings of these models are reviewed and illustrated through examples. Applications and the state-of-the-art in computations are also reviewed. Finally, we discuss several main areas for future development in this field. These include development of polynomial-time approximation schemes for multi-stage stochastic programs and the application of global optimization algorithms to two-stage and chance-constraint formulations. Demand-robust versions of common optimization problems were recently introduced by [4] motivated by the worst-case considerations of two-stage stochastic optimization models. We study the demand robust min-cut and shortest path problems, and exploit the nature of the robust objective to give improved approximation factors. Specifically, we give a @math approximation for robust min-cut and a 7.1 approximation for robust shortest path. Previously, the best approximation factors were O(log n) for robust min-cut and 16 for robust shortest paths, both due to [4]. Our main technique can be summarized as follows: We investigate each of the second stage scenarios individually, checking if it can be independently serviced in the second stage within an acceptable cost (namely, a guess of the optimal second stage costs). For the costly scenarios that cannot be serviced in this way (“rainy days”), we show that they can be fully taken care of in a near-optimal first stage solution (i.e., by ”paying today”). We also consider “hitting-set” extensions of the robust min-cut and shortest path problems and show that our techniques can be combined with algorithms for Steiner multicut and group Steiner tree problems to give similar approximation guarantees for the hitting-set versions of robust min-cut and shortest path problems respectively. The Adaptive Seeding problem is an algorithmic challenge motivated by influence maximization in social networks: One seeks to select among certain accessible nodes in a network, and then select, adaptively, among neighbors of those nodes as they become accessible in order to maximize a global objective function. More generally, adaptive seeding is a stochastic optimization framework where the choices in the first stage affect the realizations in the second stage, over which we aim to optimize. Our main result is a (1 -- 1 e)2-approximation for the adaptive seeding problem for any monotone submodular function. While adaptive policies are often approximated via non-adaptive policies, our algorithm is based on a novel method we call locally-adaptive policies. These policies combine a non-adaptive global structure, with local adaptive optimizations. This method enables the (1 -- 1 e)2-approximation for general monotone submodular functions and circumvents some of the impossibilities associated with non-adaptive policies. We also introduce a fundamental problem in submodular optimization that may be of independent interest: given a ground set of elements where every element appears with some small probability, find a set of expected size at most k that has the highest expected value over the realization of the elements. We show a surprising result: there are classes of monotone submodular functions (including coverage) that can be approximated almost optimally as the probability vanishes. For general monotone submodular functions we show via a reduction from P lanted -C lique that approximations for this problem are not likely to be obtainable. This optimization problem is an important tool for adaptive seeding via non-adaptive policies, and its hardness motivates the introduction of locally-adaptive policies we use in the main result. We consider stochastic programs where the distribution of the uncertain parameters is only observable through a finite training dataset. Using the Wasserstein metric, we construct a ball in the space of (multivariate and non-discrete) probability distributions centered at the uniform distribution on the training samples, and we seek decisions that perform best in view of the worst-case distribution within this Wasserstein ball. The state-of-the-art methods for solving the resulting distributionally robust optimization problems rely on global optimization techniques, which quickly become computationally excruciating. In this paper we demonstrate that, under mild assumptions, the distributionally robust optimization problems over Wasserstein balls can in fact be reformulated as finite convex programs—in many interesting cases even as tractable linear programs. Leveraging recent measure concentration results, we also show that their solutions enjoy powerful finite-sample performance guarantees. Our theoretical results are exemplified in mean-risk portfolio optimization as well as uncertainty quantification. We study two-stage robustvariants of combinatorial optimization problems like Steiner tree, Steiner forest, and uncapacitated facility location. The robust optimization problems, previously studied by [1], [6], and [4], are two-stage planning problems in which the requirements are revealed after some decisions are taken in stage one. One has to then complete the solution, at a higher cost, to meet the given requirements. In the robust Steiner tree problem, for example, one buys some edges in stage one after which some terminals are revealed. In the second stage, one has to buy more edges, at a higher cost, to complete the stage one solution to build a Steiner tree on these terminals. The objective is to minimize the total cost under the worst-case scenario. In this paper, we focus on the case of exponentially manyscenarios given implicitly. A scenario consists of any subset of kterminals (for Steiner tree), or any subset of kterminal-pairs (for Steiner forest), or any subset of kclients (for facility location). We present the first constant-factor approximation algorithms for the robust Steiner tree and robust uncapacitated facility location problems. For the robust Steiner forest problem with uniform inflation, we present an O(logn)-approximation and show that the problem with two inflation factors is impossible to approximate within O(log1 2 i¾? i¾?n) factor, for any constant i¾?> 0, unless NP has randomized quasi-polynomial time algorithms. Finally, we show APX-hardness of the robust min-cut problem (even with singleton-set scenarios), resolving an open question by [1] and [6]. Following the well-studied two-stage optimization framework for stochastic optimization [15,8], we study approximation algorithms for robust two-stage optimization problems with an exponential number of scenarios. Prior to this work, [8] introduced approximation algorithms for two-stage robust optimization problems with explicitly given scenarios. In this paper, we assume the set of possible scenarios is given implicitly, for example by an upper bound on the number of active clients. In two-stage robust optimization, we need to pre-purchase some resources in the first stage before the adversary's action. In the second stage, after the adversary chooses the clients that need to be covered, we need to complement our solution by purchasing additional resources at an inflated price. The goal is to minimize the cost in the worst-case scenario. We give a general approach for solving such problems using LP rounding. Our approach uncovers an interesting connection between robust optimization and online competitive algorithms. We use this approach, together with known online algorithms, to develop approximation algorithms for several robust covering problems, such as set cover, vertex cover, and edge cover. We also study a simple buy-at-oncealgorithm that either covers all items in the first stage or does nothing in the first stage and waits to build the complete solution in the second stage. We show that this algorithm gives tight approximation factors for unweighted variants of these covering problems, but performs poorly for general weighted problems. We consider various stochastic models that incorporate the notion of risk-averseness into the standard 2-stage recourse model, and develop novel techniques for solving the algorithmic problems arising in these models. A key notable feature of our work that distinguishes it from work in some other related models, such as the (standard) budget model and the (demand-) robust model, is that we obtain results in the black-box setting, that is, where one is given only sampling access to the underlying distribution. Our first model, which we call the risk-averse budget model, incorporates the notion of risk-averseness via a probabilistic constraint that restricts the probability (according to the underlying distribution) with which the second-stage cost may exceed a given budget B to at most a given input threshold . We also a consider a closely-related model that we call the risk-averse robust model, where we seek to minimize the first-stage cost and the (1- )-quantile of the second-stage cost. We obtain approximation algorithms for a variety of combinatorial optimization problems including the set cover, vertex cover, multicut on trees, min cut, and facility location problems, in the risk-averse budget and robust models with black-box distributions. We obtain near-optimal solutions that preserve the budget approximately and incur a small blow-up of the probability threshold (both of which are unavoidable). To the best of our knowledge, these are the first approximation results for problems involving probabilistic constraints and black-box distributions. A major component of our results is a fully polynomial approximation scheme for solving the LP-relaxation of the risk-averse problem. We study statistical inference and distributionally robust solution methods for stochastic optimization problems, focusing on confidence intervals for optimal values and solutions that achieve exact coverage asymptotically. We develop a generalized empirical likelihood framework---based on distributional uncertainty sets constructed from nonparametric @math -divergence balls---for Hadamard differentiable functionals, and in particular, stochastic optimization problems. As consequences of this theory, we provide a principled method for choosing the size of distributional uncertainty regions to provide one- and two-sided confidence intervals that achieve exact coverage. We also give an asymptotic expansion for our distributionally robust formulation, showing how robustification regularizes problems by their variance. Finally, we show that optimizers of the distributionally robust formulations we study enjoy (essentially) the same consistency properties as those in classical sample average approximations. Our general approach applies to quickly mixing stationary sequences, including geometrically ergodic Harris recurrent Markov chains. This paper proposes a novel two-stage optimization method for robust model predictive control (RMPC) with Gaussian disturbance and state estimation error. Since the disturbance is unbounded, it is impossible to achieve zero probability of violating constraints. Our goal is to optimize the expected value of an objective function while limiting the probability of violating any constraints over the planning horizon (joint chance constraint). Prior arts include ellipsoidal relaxation approach [1] and particle control [2], but the former yields very conservative result and the latter is computationally intensive. Our approach divide the optimization problem into two stages; the upper-stage that optimizes risk allocation, and the lower-stage that optimizes control sequence with tightened constraints. The lower-stage is a regular convex optimization, such as linear programming or quadratic programming. The upper-stage is also convex, but the objective function is not always differentiable. We developed a fast descent algorithm for the upper-stage called iterative risk allocation (IRA), which yield much smaller suboptimality than ellipsoidal relaxation method while achieving a substantial speedup compared to and particle control. Reinforcement Learning (RL) is an approach for solving complex multi-stage decision problems that fall under the general framework of Markov Decision Problems (MDPs), with possibly unknown parameters. Function approximation is essential for problems with a large state space, as it facilitates compact representation and enables generalization. Linear approximation architectures (where the adjustable parameters are the weights of pre-fixed basis functions) have recently gained prominence due to efficient algorithms and convergence guarantees. Nonetheless, an appropriate choice of basis function is important for the success of the algorithm. In the present paper we examine methods for adapting the basis function during the learning process in the context of evaluating the value function under a fixed control policy. Using the Bellman approximation error as an optimization criterion, we optimize the weights of the basis function while simultaneously adapting the (non-linear) basis function parameters. We present two algorithms for this problem. The first uses a gradient-based approach and the second applies the Cross Entropy method. The performance of the proposed algorithms is evaluated and compared in simulations. The ep regression problem takes as input a matrix A ∈ ℝn, a vector b ∈ ℝn, and a number p ∈ [1, ∞), and it returns as output a number Z and a vector xOPT ∈ ℝd such that Z = minx∈ℝd ||Ax - b||p = ||AxOPT - b||p. In this paper, we construct coresets and obtain an efficient two-stage sampling-based approximation algorithm for the very overconstrained (n G d) version of this classical problem, for all p ∈ [1, ∞). The first stage of our algorithm non-uniformly samples r1 = O(36pdmax p 2+1, p +1) rows of A and the corresponding elements of b, and then it solves the lp regression problem on the sample; we prove this is an 8-approximation. The second stage of our algorithm uses the output of the first stage to resample r1 e2 constraints, and then it solves the lp regression problem on the new sample; we prove this is a (1 + e)-approximation. Our algorithm unifies, improves upon, and extends the existing algorithms for special cases of ep regression, namely p = 1,2 [10, 13]. In course of proving our result, we develop two concepts--well-conditioned bases and subspace-preserving sampling--that are of independent interest. Dec-POMDPs are a powerful framework for planning in multiagent systems, but are provably intractable to solve. Despite recent work on scaling to more agents by exploiting weak couplings in factored models, scalability for unrestricted subclasses remains limited. This paper proposes a factored forward-sweep policy computation method that tackles the stages of the problem one by one, exploiting weakly coupled structure at each of these stages. To enable the method to scale to many agents, we propose a set of approximations: approximation of stages using a sparse interaction structure, bootstrapping off smaller tasks to compute heuristic payoff functions, and employing approximate inference to estimate required probabilities at each stage and to compute the best decision rules. An empirical evaluation shows that the loss in solution quality due to these approximations is small and that the proposed method achieves unprecedented scalability, solving Dec-POMDPs with hundreds of agents. In this paper we study distributionally robust optimization (DRO) problems where the ambiguity set of the probability distribution is defined by the Kullback-Leibler (KL) divergence. We consider DRO problems where the ambiguity is in the objective function, which takes a form of an expectation, and show that the resulted minimax DRO problems can be formulated as a one-layer convex minimization problem. We also consider DRO problems where the ambiguity is in the constraint. We show that ambiguous expectation-constrained programs may be reformulated as a one-layer convex optimization problem that takes the form of the Benstein approximation of Nemirovski and Shapiro (2006). We further consider distributionally robust probabilistic programs. We show that the optimal solution of a probability minimization problem is also optimal for the distributionally robust version of the same problem, and also show that the ambiguous chance-constrained programs (CCPs) may be reformulated as the original CCP with an adjusted confidence level. A number of examples and special cases are also discussed in the paper to show that the reformulated problems may take simple forms that can be solved easily. The main contribution of the paper is to show that the KL divergence constrained DRO problems are often of the same complexity as their original stochastic programming problems and, thus, KL divergence appears a good candidate in modeling distribution ambiguities in mathematical programming. The sample average approximation (SAA) method is an approach for solving stochastic optimization problems by using Monte Carlo simulation. In this technique the expected objective function of the stochastic problem is approximated by a sample average estimate derived from a random sample. The resulting sample average approximating problem is then solved by deterministic optimization techniques. The process is repeated with different samples to obtain candidate solutions along with statistical estimates of their optimality gaps. We present a detailed computational study of the application of the SAA method to solve three classes of stochastic routing problems. These stochastic problems involve an extremely large number of scenarios and first-stage integer variables. For each of the three problem classes, we use decomposition and branch-and-cut to solve the approximating problem within the SAA scheme. Our computational results indicate that the proposed method is successful in solving problems with up to 21694 scenarios to within an estimated 1.0 of optimality. Furthermore, a surprising observation is that the number of optimality cuts required to solve the approximating problem to optimality does not significantly increase with the size of the sample. Therefore, the observed computation times needed to find optimal solutions to the approximating problems grow only linearly with the sample size. As a result, we are able to find provably near-optimal solutions to these difficult stochastic programs using only a moderate amount of computation time. We study a new two-stage version of an s-t path problem, which we call adaptable robust connection path (ARCP). Given an undirected graph G=(V,E), two vertices s,t@?V and two integers f,r@?Z"+, ARCP asks to find a set S@?E of minimum cardinality which connects s and t, such that for any 'failure set' F@?E with |F|@?f, the set of edges S@?F can be completed to a set which connects s and t by adding at most r edges from E@?F. We show the problem is NP-hard, and there is no polynomial-time @a-approximation algorithm for the problem for @a<2 unless P=NP. For f=r=1 we provide an exact polynomial algorithm, and for f=1 and arbitrary r we provide a polynomial 2-approximation algorithm. A characterization of the feasible set is provided for f=1 and several links are established between ARCP and other combinatorial optimization problems, including a new combinatorial optimization problem, the minimum reduced cost cycle problem whose complexity is open. In this paper the minimum spanning tree problem with uncertain edge costs is discussed. In order to model the uncertainty a discrete scenario set is specified and a robust framework is adopted to choose a solution. The min-max, min-max regret and 2-stage min-max versions of the problem are discussed. The complexity and approximability of all these problems are explored. It is proved that the min-max and min-max regret versions with nonnegative edge costs are hard to approximate within O(log^1^-^@en) for any @e>0 unless the problems in NP have quasi-polynomial time algorithms. Similarly, the 2-stage min-max problem cannot be approximated within O(logn) unless the problems in NP have quasi-polynomial time algorithms. In this paper randomized LP-based approximation algorithms with performance bound of O(log^2n) for min-max and 2-stage min-max problems are also proposed.