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2004

Regrets Only! Online Stochastic Optimization under Time Constraints

11 years 6 months ago
Regrets Only! Online Stochastic Optimization under Time Constraints
This paper considers online stochastic optimization problems where time constraints severely limit the number of offline optimizations which can be performed at decision time and/or in between decisions. It proposes a novel approach which combines the salient features of the earlier approaches: the evaluation of every decision on all samples (expectation) and the ability to avoid distributing the samples among decisions (consensus). The key idea underlying the novel algorithm is to approximate the regret of a decision d. The regret algorithm is evaluated on two fundamentally different applications: online packet scheduling in networks and online multiple vehicle routing with time windows. On both applications, it produces significant benefits over prior approaches.
Russell Bent, Pascal Van Hentenryck
Added 30 Oct 2010
Updated 30 Oct 2010
Type Conference
Year 2004
Where AAAI
Authors Russell Bent, Pascal Van Hentenryck
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