Contact Info
Combinatorics & Optimization
University of Waterloo
Waterloo, Ontario
Canada N2L 3G1
Phone: 519-888-4567, ext 33038
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Title: Approximation Algorithms for Distributionally Robust Stochastic Optimization
Speaker: | Chaitanya Swamy |
Affiliation: | University of Waterloo |
Room: | MC 5501 |
Abstract:
Two-stage stochastic optimization is a widely-used framework for modeling uncertainty, where we have a probability distribution over possible realizations of the data, called scenarios, and decisions are taken in two stages: we make first-stage decisions knowing only the underlying distribution and before a scenario is realized, and may take additional second-stage recourse actions after a scenario is realized. The goal is typically to minimize the total expected cost. A common criticism levied at this model is that the underlying probability distribution is itself often imprecise! To address this, an approach that is quite versatile and has gained popularity in the operations-research literature is the distributionally-robust 2-stage model: given a collection \D of probability distributions, our goal now is to minimize the maximum expected total cost with respect to a distribution in \D.
There has been no prior work however on developing approximation algorithms for distributionally-robust problems, when the underlying scenario-set is discrete, as is the case with discrete-optimization problems. We provide a framework for designing approximation algorithms in such settings when the collection \D is a ball around a central distribution. We use this to obtain approximation algorithms for the distributionally-robust versions of a variety of discrete-optimization problems including set cover, vertex cover, facility location, Steiner tree, with guarantees that are, in most cases, within O(1)-factors of the guarantees known for the deterministic version of the problem.
This is joint work with Andre Linhares. The talk will be self-contained.
Combinatorics & Optimization
University of Waterloo
Waterloo, Ontario
Canada N2L 3G1
Phone: 519-888-4567, ext 33038
PDF files require Adobe Acrobat Reader.
The University of Waterloo acknowledges that much of our work takes place on the traditional territory of the Neutral, Anishinaabeg and Haudenosaunee peoples. Our main campus is situated on the Haldimand Tract, the land granted to the Six Nations that includes six miles on each side of the Grand River. Our active work toward reconciliation takes place across our campuses through research, learning, teaching, and community building, and is co-ordinated within the Office of Indigenous Relations.