Fully Polynomial Time Approximation Schemes for Stochastic Dynamic Programs

PurposeThe purpose of this paper is to find the best approximation algorithm for solving the more general case of single‐supplier multi‐retailer capacitated economic lot‐sizing (SM‐CELS) problem in deterministic inventory theory, which is the non‐deterministic polynomial (NP)‐hard problem.Design/methodology/approachSince few theoretical results have been published on polynomial time approximation algorithms for SM‐CELS problems, this paper develops a fully polynomial time approximation scheme (FPTAS) for the problem with monotone production and holding‐backlogging cost functions. First the optimal solution of a rounded problem is presented as the approximate solution and its straightforward dynamic‐programming (DP) algorithm. Then the straightforward DP algorithm is converted into an FPTAS by exploiting combinatorial properties of the recursive function.FindingsAn FPTAS is designed for the SM‐CELS problem with monotone cost functions, which is the strongest polynomial time approximation result.Research limitations/implicationsThe main limitation is that the supplier only manufactures without holding any products when the model is applied.Practical implicationsThe paper presents the best result for the SM‐CELS problem in deterministic inventory theory.Originality/valueThe LP‐rounding technique, an effective approach to design approximation algorithms for NP‐hard problems, is successfully applied to the SM‐CELS problem in this paper.

We propose a computationally efficient fully polynomial-time approximation scheme (FPTAS) to compute an approximation with arbitrary precision of the value function of convex stochastic dynamic programs, using the technique of $K$-approximation sets and functions introduced by Halman et al. [Math. Oper. Res., 34, (2009), pp. 674--685]. This paper deals with the convex case only, and it has the following contributions. First, we improve on the worst-case running time given by Halman et al. Second, we design and implement an FPTAS with excellent computational performance and show that it is faster than an exact algorithm even for small problem instances and small approximation factors, becoming orders of magnitude faster as the problem size increases. Third, we show that with careful algorithm design, the errors introduced by floating point computations can be bounded, so that we can provide a guarantee on the approximation factor over an exact infinite-precision solution. We provide an extensive computational evaluation based on randomly generated problem instances coming from applications in supply chain management and finance. The running time of the FPTAS is both theoretically and experimentally linear in the size of the uncertainty set.

Contributors

Strong computational lower bounds via parameterized complexity

We present a unified (randomized) polynomial-time approximation scheme (PTAS) for the prize collecting traveling salesman problem (PCTSP) and the prize collecting Steiner tree problem (PCSTP) in doubling metrics. Given a metric space and a penalty function on a subset of points known as terminals, a solution is a subgraph on points in the metric space, whose cost is the weight of its edges plus the penalty due to terminals not covered by the subgraph. Under our unified framework, the solution subgraph needs to be Eulerian for PCTSP, while it needs to be a tree for PCSTP. Before our work, even a QPTAS for the problems in doubling metrics is not known. Our unified PTAS is based on the previous dynamic programming frameworks proposed in [Talwar STOC 2004] and [Bartal, Gottlieb, Krauthgamer STOC 2012]. However, since it is unknown which part of the optimal cost is due to edge lengths and which part is due to penalties of uncovered terminals, we need to develop new techniques to apply previous divide-and-conquer strategies and sparse instance decompositions.

Understanding the interactions between different combinatorial optimisation problems in real-world applications is a challenging task. Recently, the traveling thief problem (TTP), as a combination of the classical traveling salesperson problem and the knapsack problem, has been introduced to study these interactions in a systematic way. We investigate the underlying non-linear packing while traveling (PWT) problem of the TTP where items have to be selected along a fixed route. We give an exact dynamic programming approach for this problem and a fully polynomial time approximation scheme (FPTAS) when maximising the benefit that can be gained over the baseline travel cost. Our experimental investigations show that our new approaches outperform current state-of-the-art approaches on a wide range of benchmark instances.

With the proliferation of wireless cellular technology (e.g., 5G, 4G LTE), managing quality of experience (QoE) for wireless clients streaming different videos over these networks is becoming increasingly important. In this paper, we consider the problem of managing playout stalls experienced by multiple clients streaming different videos from a cellular base station. We build on our prior work [1], where we formulate an epoch based lead aware multiple video transmission (LMVT) problem to minimize the total number of playout stalls experienced by mobile clients. In [1], [2], we show that the LMVT problem is NP-hard and propose a pseudo polynomial dynamic programming solution and a simple greedy heuristic to solve the problem. In this paper, we first show that even a simpler and less restrictive version of the LMVT problem remains hard. We then design a fully polynomial time approximation scheme (FPTAS) for the LVMT problem by demonstrating that it is equivalent to the Santa Claus Problem [3], [4]. The FPTAS provides a bounded performance guarantee, differing by a factor of 1/1+∊B from the optimal solution (where B is the number of time slots in an epoch and ε is a small constant).

Contributors

This paper studies a class of renewable resource allocation problems for the processing of dynamically arriving tasks with deterministic deadlines. This class of problems has many applications, however, it conforms to neither the standard resource allocation model nor the standard optimal control model. A new problem formulation has to be developed and analyzed to provide a satisfactory solution. In this paper, a new formulation is presented. By augmenting the state variabls, the problem is converted into a Markovian decision problem. It can then be treated, at least in principle, by using the stochastic dynamic programming (SDP) method. However, since the system dynamics involves the evolution of sets (of tasks and resources), the implementation of the dynamic programming equation is by no means straightforward. For a problem with infinite planning horizon, the optimal strategy is shown to be stationary under mild conditions. An SDP algorithm based on a successive approximation technique is developed to obtain the optimal stationary strategy. The implementation of the algorithm employs a special coding scheme to handle set variables, and utilizes a dominance property for computational efficiency. Effects of key system parameters on optimal decisions are investigated and analyzed through numerical examples. As the computational complexity of the algorithm is of exponential increase, practical applications of the algorithm is limited to problems of moderate size. Two heuristic rules are therefore investigated and compared to the optimal policy.

Reservoir management is a highly complex problem, which includes the uncertainty in the inflows as well as in the objectives. Stochastic dynamic programming (SDP) has been widely used to develop the optimal operating policies of multipurpose reservoirs. In the recent years, fuzzy optimization has been used to incorporate the uncertainty caused due to the imprecise nature of objectives. In the present study, a comparison is made between a conventional SDP model and fuzzy dynamic programming models for optimal operation of a multipurpose reservoir. The two models are developed for Hirakud Reservoir on River Mahanadi in the State of Orissa in India. The performance of the reservoir is evaluated under the operating policies derived from these models through simulation. The results indicate that the fuzzy dynamic programming model performs better in achieving the flood control objective and thus in the overall performan1ce of reservoir.

Compared with the conventional energy power generation investments, the uncertainty of wind power investment will bring greater risk. For wind power investors, wind power investment strategy-makers, even for wind power equipment manufacturers, all urgently need decision-support tools to minimize the risk and obtain optimal investment opportunities. In this paper, firstly we analyze the current problems and risks of wind power industry in China. Secondly, based on stochastic theory and dynamic programming methods, the paper establishes model about wind power investment decision-making. It considers the wind power project investment uncertainties risk factors. Example analysis shows that the model can be used for wind power developers to choose the right investment opportunities and to provide decision-making reference.

We present an efficient polynomial-time approximation scheme (EPTAS) for the problem of scheduling jobs on parallel uniform machines that improves all previously known EPTAS for the problem. Our algorithm uses a Mixed Integer Linear Program (MILP) formulation for a relaxed version of the problem. We simplify the MILP by repeatedly removing carefully selected sets of jobs and machines until all integer variables have been removed. Then, we build up the solution through the use of a dynamic programming approach, enumeration, and linear program solving. Notable about our approach is that our algorithm only uses an LP solver, different from previous EPTAS approaches where MILP solvers are necessary.

This study addresses the scheduling problem of two identical parallel machines with the objective of minimizing the total completion time under the machine availability constraints. To the best of our knowledge, this study is the first to develop a fully polynomial-time approximation scheme (FPTAS), a solution method which has been neglected in past studies, to solve the studied problem. The FPTAS, which is based on a dynamic programming algorithm is developed by applying a trimming-the-state-space approach. Theoretical proofs of the error bound and the time complexity for the proposed FPTAS are also provided. The computational results indicate that the proposed FPTAS performs more efficiently than a dynamic programming algorithm in terms of both run time and problem size. The error bound of the FPTAS is demonstrated to be within the pre-specified error bound.

The increased water demand and the increased capital construction costs of water resource development projects force engineers and water planners to utilize efficiently the existing and proposed water resources systems. Hence, it is considered necessary to find the optimum real time operating rules for systems of multiple reservoirs.Stochastic dynamic programming (SDP) has been used as the tool for deriving the real time operating rules for a system of multiple reservoirs, in preference to simulation analysis and linear programming. This is because the operation of the storages is considered as a sequential decision problem and dynamic programming is well suited to handle sequential, multi-period type decision problems. Further, the stochastic nature of streamflow is considered explicitly through a multivariate distribution for streamflow. The method theoretically produces the global optimum solution.The computational difficulties in terms of computer time and memory space have prohibited the realistic application of this method to systems of multiple reservoirs in the past. In this study, two methods have been introduced to reduce the computational difficulties of the method, thus making SDP more attractive to use in the derivation of the real time operating rules for a system of multiple reservoirs.The first method, the assumption of cross correlation of streamflow, reduces the number of states in the SDP method which reduces computer time and memory space. Further, it reduces the number of conditional probability estimates of streamflow which are used in recursive relation of the SDP algorithm. The second method, the “corridor” approach, reduces computer time involved in the SDP method by eliminating the computation of infeasible and/or inferior (suboptimal) solutions. These two methods have resulted in significant savings in the computer effort of the SDP method.The conditional probabilities of streamflow are computed by considering the hypervolume under the conditional probability density function between the integration limits using the computationally efficient Gaussian Legendre quadrature method. The conditional probability density function is derived from the historical streamflow data.Real time operating rules are expressed as a function of the storage volume(s) at the beginning of the current time interval and the forecast inflow into the storage(s) during the current time interval.The Melbourne water supply system is used as the example. The derived operating rules have been tested by operating a simulation model and the conclusion is made that the SDP method is a satisfactory technique for objectively deriving real time operating rules for a system of multiple reservoirs.Finally, a combined stochastic dynamic programming – statistical disaggregation approach is introduced to determine the real time operating rules for a system of multiple reservoirs where operational data are available. Releases from individual storages are a function of the total system storage volume and inflow. The method uses SDP to determine the release rules from the equivalent single reservoir of the multiple reservoir system; these releases are then disaggregated to individual releases using the statistical release disaggregation model whose parameters are derived from the historical operational data. The approach was used to derive real time operating rules for the Melbourne water supply system and the operating rules were validated using a simulation model of the system.

We consider variants of the classic bin packing and multiple knapsack problems, in which sets of items of different classes (colours) need to be placed in bins; the items may have different sizes and values. Each bin has a limited capacity, and a bound on the number of distinct classes of items it can accommodate. In the class-constrained multiple knapsack (CCMK) problem, our goal is to maximize the total value of packed items, whereas in the class-constrained bin-packing (CCBP), we seek to minimize the number of (identical) bins, needed for packing all the items. We give a polynomial time approximation scheme (PTAS) for CCMK and a dual PTAS for CCBP. We also show that the 0–1 class-constrained knapsack admits a fully polynomial time approximation scheme, even when the number of distinct colours of items depends on the input size. Finally, we introduce the generalized class-constrained packing problem (GCCP), where each item may have more than one colour. We show that GCCP is APX-hard, already for the case of a single knapsack, where all items have the same size and the same value. Our optimization problems have several important applications, including storage management for multimedia systems, production planning, and multiprocessor scheduling. Copyright © 2001 John Wiley & Sons, Ltd.