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CPAIOR
2008
Springer

Amsaa: A Multistep Anticipatory Algorithm for Online Stochastic Combinatorial Optimization

9 years 8 months ago
Amsaa: A Multistep Anticipatory Algorithm for Online Stochastic Combinatorial Optimization
The one-step anticipatory algorithm (1s-AA) is an online algorithm making decisions under uncertainty by ignoring future non-anticipativity constraints. It makes near-optimal decisions on a variety of online stochastic combinatorial problems in dynamic fleet management, reservation systems, and more. Here we consider applications in which 1s-AA is not as close to the optimum and propose Amsaa, an anytime multi-step anticipatory algorithm. Amsaa combines techniques from three different fields to make decisions online. It uses the sampling average approximation method from stochastic programming to approximate the problem; solves the resulting problem using a search algorithm for Markov decision processes from artificial intelligence; and uses a discrete optimization algorithm for guiding the search. Amsaa was evaluated on a stochastic project scheduling application from the pharmaceutical industry featuring endogenous observations of the uncertainty. The experimental results show that A...
Luc Mercier, Pascal Van Hentenryck
Added 18 Oct 2010
Updated 18 Oct 2010
Type Conference
Year 2008
Where CPAIOR
Authors Luc Mercier, Pascal Van Hentenryck
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