Stochastic Optimization is (Almost) as easy as Deterministic Optimization

Stochastic optimization problems attempt to model uncertainty in the data by assuming that (part of) the input is specified in terms of a probability distribution. We consider the well-studied paradigm of 2-stage models with recourse: first, given only distributional information about (some of) the data one commits on initial actions, and then once the actual data is realized (according to the distribution), further (recourse) actions can be taken. We give the first approximation algorithms for 2-stage discrete stochastic optimization problems with recourse for which the underlying random data is given by a "black box" and no restrictions are placed on the costs in the two stages, based on an FPRAS for the LP relaxation of the stochastic problem (which has exponentially many variables and constraints). Among the range of applications we consider are stochastic versions of the set cover, vertex cover, facility location, multicut (on trees), and multicommodity flow problems.

• Type: Conference
• Year: 2004
• Where: FOCS
• Authors: David B. Shmoys, Chaitanya Swamy
• Keywords: Discrete Stochastic Optimization, FOCS 2004, Stochastic Optimization Problems, Theoretical Computer Science, Well-studied Paradigm