A Clustering Approach to Solving Large Stochastic Matching Problems

In this work we focus on efficient heuristics for solving a class of stochastic planning problems that arise in a variety of business, investment, and industrial applications. The problem is best described in terms of future buy and sell contracts. By buying less reliable, but less expensive, buy (supply) contracts, a company or a trader can cover a positionof more reliable and more expensive sell contracts. The goal is to maximize the expected net gain (profit) by constructing a close to optimum portfolioout of the available buy and sell contracts. This stochastic planning problem can be formulated as a two-stage stochastic linear programming problem with recourse. However, this formalization leads to solutions that are exponential in the number of possible failure combinations. Thus, this approach is not feasible for large scale problems. In this work we investigate heuristic approximation techniques alleviating the efficiency problem. We primarily focus on the clustering approach a...

• Type: Conference
• Year: 2001
• Where: UAI
• Authors: Milos Hauskrecht, Eli Upfal
• Keywords: Expensive Sell Contracts, Sell Contracts, Stochastic Planning Problem, UAI 2001, UAI 2008