论文标题
用于随机资源分配问题的在线原始二元算法
Online Primal-Dual Algorithms For Stochastic Resource Allocation Problems
论文作者
论文摘要
本文研究了在线随机资源分配问题(RAP),具有机会限制和有条件的期望限制。在线RAP是一个整数线性编程问题,其中资源消耗系数通过列以及相应的收入系数揭示。当列出列时,相应的决策变量将立即确定,而无需将来的信息。在在线应用程序中,资源消耗系数通常是通过预测获得的。这种情况的应用程序从在线订单履行任务中提出。当考虑及时性约束时,该系数将通过从原点到目的地的运输时间进行预测产生。为了模拟他们的不确定性,我们将机会限制和有条件的期望约束纳入考虑。假设不确定的变量具有已知的高斯分布,则随机RAP可以通过整数二阶约束转换为确定性但非线性问题。接下来,我们将这个非线性问题线性化,并理论上分析用于求解线性随机RAP的香草在线二线算法的性能。在轻度的技术假设下,最佳差距和约束违规都按$ \ sqrt {n} $的顺序。然后,为了进一步提高算法的性能,提出了几种具有启发式校正的在线原始二线算法。最后,广泛的数值实验证明了我们方法的适用性和有效性。
This paper studies the online stochastic resource allocation problem (RAP) with chance constraints and conditional expectation constraints. The online RAP is an integer linear programming problem where resource consumption coefficients are revealed column by column along with the corresponding revenue coefficients. When a column is revealed, the corresponding decision variables are determined instantaneously without future information. In online applications, the resource consumption coefficients are often obtained by prediction. An application for such scenario rises from the online order fulfilment task. When the timeliness constraints are considered, the coefficients are generated by the prediction for the transportation time from origin to destination. To model their uncertainties, we take the chance constraints and conditional expectation constraints into the consideration. Assuming that the uncertain variables have known Gaussian distributions, the stochastic RAP can be transformed into a deterministic but nonlinear problem with integer second-order cone constraints. Next, we linearize this nonlinear problem and theoretically analyze the performance of vanilla online primal-dual algorithm for solving the linearized stochastic RAP. Under mild technical assumptions, the optimality gap and constraint violation are both on the order of $\sqrt{n}$. Then, to further improve the performance of the algorithm, several modified online primal-dual algorithms with heuristic corrections are proposed. Finally, extensive numerical experiments demonstrate the applicability and effectiveness of our methods.