PPT-Approximation Algorithms for Stochastic Optimization

Anupam Gupta Carnegie Mellon University SODA 2018 New Orleans stochastic optimization Question How to model and solve problems with uncertainty in inputactions data not yet . Prasad . Raghavendra. . Ning. Chen C. . . Thach. . Nguyen . . . Atri. . Rudra. . . Gyanit. Singh. University of Washington. Roee . Engelberg. Technion. University. Some of the fastest known algorithms for certain tasks rely on chance. Stochastic/Randomized Algorithms. Two common variations. Monte Carlo. Las Vegas. We have already encountered some of both in this class. Regrets and . Kidneys. Intro to Online Stochastic Optimization. Data revealed over time. Distribution . of future events is known. Under time constraints. Limits amount of . sampling/simulation. Solve these problems with two black boxes:. Part I: Multistage problems. Anupam. Gupta. Carnegie Mellon University. stochastic optimization. Question: . How to model uncertainty in the inputs?. data may not yet be available. obtaining exact data is difficult/expensive/time-consuming. Anupam. Gupta. Carnegie Mellon University. stochastic optimization. Question: . How to model uncertainty in the inputs?. data may not yet be available. obtaining exact data is difficult/expensive/time-consuming. Alexander . Veniaminovich. IM. , . room. . 3. 44. Friday. 1. 7. :00. or. Saturday 14:30. Approximation. . algorithms. . 2. We will study. . NP. -. hard optimization problem. 3. What you should know. Sometimes we can handle NP problems with polynomial time algorithms which are guaranteed to return a solution within some specific bound of the optimal solution. within a constant . c. . of the optimal. Algorithms. and Networks 2015/2016. Hans L. . Bodlaender. Johan M. M. van Rooij. TexPoint fonts used in EMF. . Read the TexPoint manual before you delete this box.: . A. A. A. A. A. A. A. A. A. A. What to do if a problem is. relaxations. via statistical query complexity. Based on:. V. F.. , Will Perkins, Santosh . Vempala. . . On the Complexity of Random Satisfiability Problems with Planted . Solutions.. STOC 2015. V. F.. Applications. Lecture . 6: . Optimize Finite Sum. Zhu Han. University of Houston. Thanks Dr. . Mingyi. Hong slides. 1. Outline (Chapter 10). Problem Formulation. Algorithms. The SAG and SAGA algorithm [Le Roux 12][. Stochastic . Optimization. Anupam Gupta. Carnegie Mellon University. IPCO Summer . School. Approximation . Algorithms for. Multi-Stage Stochastic Optimization. {vertex cover, . S. teiner tree, MSTs}. relaxations. via statistical query complexity. Based on:. V. F.. , Will Perkins, Santosh . Vempala. . . On the Complexity of Random Satisfiability Problems with Planted . Solutions.. STOC 2015. V. F.. . storage. . with. . stochastic. . consumption. and production. Erwan Pierre – EDF R&D. SESO 2018 International Thematic . Week. - . Smart Energy and Stochastic Optimization . High . penetration. Classification of algorithms. The DIRECT algorithm. Divided rectangles. Exploration and Exploitation as bi-objective optimization. Application to High Speed Civil Transport. Global optimization issues.