On the Power and Limitations of Affine Policies in Two-Stage Adaptive Optimization V: The Optimal First Stage over a Dominating Simplex Is a 4√m-ApproximationResearch Paper
Motivation
Two-stage adaptive optimization models decisions taken in two steps: a first-stage decision is fixed before an uncertain right-hand side is revealed, and a second-stage decision is chosen afterwards, with the worst case over an uncertainty set to be minimized. Problems of this form arise in capacity planning, network design and inventory control, where the first stage is an investment and the second stage a recourse. Computing the fully adaptable optimum is hard in general, so tractable restrictions are used in practice, most prominently affine policies (Ben-Tal, Goryashko, Guslitzer, Nemirovski, Math. Program. 2004).
Bertsimas and Goyal (Math. Program. Ser. A, DOI 10.1007/s10107-011-0444-4) characterize how well affine policies perform. Their Section 5 shows a factor when the first-stage matrix satisfies . Section 6, the subject of this mission, drops the sign condition on : it constructs, from , a polytope with at most vertices that dominates , and shows that an optimal first stage for is a -approximate first stage for the original problem.
Timeline. Ben-Tal et al. (2004) introduced affinely adjustable robust counterparts. Bertsimas, Iancu and Parrilo (Math. Oper. Res. 2010) proved optimality of affine policies for one-dimensional multistage problems. Bertsimas and Goyal (Math. Oper. Res. 2010) analysed static robust solutions for two-stage problems. The present paper (received 2009, published 2011) gives the picture for affine policies and the general-case first-stage approximation formalized here.
Setting
Fix matrices , and cost vectors , . The uncertainty set is convex, compact and full-dimensional. A feasible solution of is a pair with and, for every , and , componentwise. Its worst-case cost is , and the fully adaptable optimum is
An optimal solution attains this value.
For let and let be a maximizer, (display (38)). Algorithm (Fig. 1 of the paper) starts with the index set ; while some has , it picks a maximizer of that scaled sum over , adds to a running total on the coordinates of , and removes from every coordinate whose total has reached . It stops after iterations and returns . The dominating set is
Formalization targets
Goal: Theorem 6
For every run of Algorithm , every choice of the maximizers , and every optimal solution of ,
The page states the factor as ; is the constant its proof establishes.
Milestones
- Lemma 12. dominates : every has some with .
- Lemma 13 (inequality). is feasible with finite worst-case cost, and
- The domination claim in the proof of Theorem 6. If dominates and is optimal for with finite worst-case cost, then every can be served from at cost at most .
Significance
The result gives a first-stage decision with a guarantee of order for two-stage problems with an arbitrary first-stage matrix, a setting where the affine-policy analysis of Section 5 does not apply. The decision is obtained from a problem whose uncertainty set has at most extreme points, so it reduces an adaptive problem over a general convex set to one over a polytope with few vertices. Together with the paper's lower bounds (Theorems 2 and 3, for affine policies), it places the general-case approximability of the first stage at the same order as the affine-policy gap.
The result is proved in the paper. It has no machine-checked proof that we know of. The formalization produces, beyond the theorem itself, an encoding of model (1) with values that are honest infima, a relational encoding of Algorithm usable for its termination and output properties, and a reusable domination lemma for two-stage problems. Mission IV of this series (the case ) formalizes Lemmas 9 and 10 on Algorithm , which the proofs here use.
Difficulty
The obvious argument replaces by a simple set that contains or dominates it, such as the box , and solves over that set. This loses a factor , not : for with , , , , the optimum over is while the optimum over the box is . A dominating set with few vertices whose cost is only times the original optimum has to be built from itself, and controlling the cost of its vertex depends on the number of iterations of Algorithm , which is bounded only through the potential argument of Lemma 10 in the paper.
A second difficulty is that is an infimum, not an attained minimum, over second-stage rules that are arbitrary functions; the cost comparison must work from near-optimal solutions of .
Formalization scope
Vectors are functions on Fin m, matrices are Matrix (Fin m) (Fin n) ℝ, and inequalities between vectors are componentwise. The paper's coordinate is Fin index . is the infimum of the set of bounds such that some feasible satisfies for all ; this avoids a real supremum of a possibly unbounded worst case. An optimal solution is a feasible one that achieves every achievable bound. and the maximizers enter the theorems as data with their defining properties. Algorithm is a relation on a choice sequence : the theorems hold for every run and every choice of maximizers, never for "some simplex dominating ".
Standing assumptions of (1) carried by the goal and Lemma 13: , , convex, compact and with nonempty interior, and (1) feasible. There is no sign condition on . Lemma 12 keeps only nonnegativity and full-dimensionality of ; the domination claim is stated for arbitrary scenario sets and with dominating and assumes that the optimal solution over has a finite worst-case cost.
The printed Lemma 13 also asserts on the grounds that is a simplex. Its generators need not be affinely independent, so this equality is not part of the mission; Theorem 6 does not use it.
A bound on alone is not the goal: the goal requires, for each scenario of the original set , a feasible second stage completing the fixed first stage at the stated cost. Lemma 13 also asserts feasibility over with a finite bound, so its inequality cannot hold through the value of an infimum over an empty set.
A complete development needs elementary facts about convex hulls of finitely many points (representation by convex weights), the properties of Algorithm (its output bound and termination, Lemmas 9 and 10 of the paper), and -approximation arguments for infima. The encoding of model (1) and of Algorithm is shared with the other missions of this series. Contributions of these supporting lemmas are welcome.
Selected references
- D. Bertsimas, V. Goyal, On the power and limitations of affine policies in two-stage adaptive optimization, Math. Program. Ser. A, 2011. https://doi.org/10.1007/s10107-011-0444-4
- A. Ben-Tal, A. Goryashko, E. Guslitzer, A. Nemirovski, Adjustable robust solutions of uncertain linear programs, Math. Program. 99, 2004. https://doi.org/10.1007/s10107-003-0454-y
- D. Bertsimas, D. A. Iancu, P. A. Parrilo, Optimality of affine policies in multistage robust optimization, Math. Oper. Res. 35, 2010. https://doi.org/10.1287/moor.1100.0444
- D. Bertsimas, V. Goyal, On the power of robust solutions in two-stage stochastic and adaptive optimization problems, Math. Oper. Res. 35, 2010. https://doi.org/10.1287/moor.1090.0440