Hedging Uncertainty_ Approximation Algorithms for Stochastic Opti外文电子书籍.pdfVIP

Carnegie Mellon University Research Showcase Tepper School of Business 8-20-2003 Hedging Uncertainty: Approx imation Algorithms for Stochastic Optimization Problems R . Ravi Carneg ie Mellon University, ravi@ Amit abh Sinha Carneg ie Mellon University Follow this and a itional works at : /tepper Part of the Economic Policy Commons, and the Industrial Organization Commons Recommended Citation Ravi, R . and Sinha, Amitabh, He ging Uncertainty: Approximation Algorithms for Stochastic Optimization Problems (2003). Tepper School of Business. Paper 392. /tepper/392 This Article is brought to you for free and open access by Research Showcase. It has been accepted for inclusion in Tepper School of Business by an authorized administrator of Research Showcase. For more information, please contact research-showcase@. Hedging Uncertainty: Approximation Algorithms for Stochastic Optimization Problems R. Ravi∗ Amitabh Sinha† August 20, 2003 Abstract We initiate the design of approximation algorithms for stochastic combinatorial optimization prob- lems; we formulate the problems in the framework of two-stage stochastic optimization, and provide nearly tight approximation algorithms. Our problems range from the simple (shortest path, vertex cover, bin packing) to complex (facility location, set cover), and contain representatives with different approximation ratios. The approximation ratio of the stochastic variant of a typical problem is of the same order of mag- nitude as its deterministic counterpart. Furthermore, common techniques for designing approximation algorithms such as LP rounding, the primal-dual method, and the greedy