an introduction to stochastic programming · 2020-01-09 · stochastic programming method....
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![Page 1: An Introduction to Stochastic Programming · 2020-01-09 · Stochastic Programming method. Anticipative approach : u 0 and u 1 are measurable with respect to ˘. This approach consists](https://reader033.vdocuments.us/reader033/viewer/2022042911/5f41992622669155c165a395/html5/thumbnails/1.jpg)
Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
An Introduction to Stochastic Programming
V. Leclere (CERMICS, ENPC)GT COSMOS
November 25, 2016
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Contents
1 Dealing with UncertaintySome difficulty with uncertaintyStochastic Programming Modelling
2 Value and Price of InformationInformation FrameworkPrice of informationHeuristics
3 Sample Average ApproximationConstraint in costChance constraint
V. Leclere Stochastic Programming 25/11/2016 2 / 39
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Contents
1 Dealing with UncertaintySome difficulty with uncertaintyStochastic Programming Modelling
2 Value and Price of InformationInformation FrameworkPrice of informationHeuristics
3 Sample Average ApproximationConstraint in costChance constraint
V. Leclere Stochastic Programming 25/11/2016 2 / 39
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
An optimization problem
A standard optimization problem
minu0
L(u0)
s.t. g(u0) ≤ 0
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
An optimization problem with uncertainty
Adding uncertainty ξ in the mix
minu0
L(u0, ξ)
s.t. g(u0, ξ) ≤ 0
Remarks:ξ is unknown. Two main way of modelling it:
ξ ∈ Ξ with a known uncertainty set Ξ, and a pessimisticapproach. This is the robust optimization approach (RO).ξ is a random variable with known probability law. This is theStochastic Programming approach (SP).
Cost is not well defined.RO : maxξ∈Ξ L(u, ξ).SP : E
[L(u, ξ)
].
Constraints are not well defined.RO : g(u, ξ) ≤ 0, ∀ξ ∈ Ξ.SP : g(u, ξ) ≤ 0, P− a.s..
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
An optimization problem with uncertainty
Adding uncertainty ξ in the mix
minu0
L(u0, ξ)
s.t. g(u0, ξ) ≤ 0
Remarks:ξ is unknown. Two main way of modelling it:
ξ ∈ Ξ with a known uncertainty set Ξ, and a pessimisticapproach. This is the robust optimization approach (RO).ξ is a random variable with known probability law. This is theStochastic Programming approach (SP).
Cost is not well defined.RO : maxξ∈Ξ L(u, ξ).SP : E
[L(u, ξ)
].
Constraints are not well defined.RO : g(u, ξ) ≤ 0, ∀ξ ∈ Ξ.SP : g(u, ξ) ≤ 0, P− a.s..
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
An optimization problem with uncertainty
Adding uncertainty ξ in the mix
minu0
L(u0, ξ)
s.t. g(u0, ξ) ≤ 0
Remarks:ξ is unknown. Two main way of modelling it:
ξ ∈ Ξ with a known uncertainty set Ξ, and a pessimisticapproach. This is the robust optimization approach (RO).ξ is a random variable with known probability law. This is theStochastic Programming approach (SP).
Cost is not well defined.RO : maxξ∈Ξ L(u, ξ).SP : E
[L(u, ξ)
].
Constraints are not well defined.RO : g(u, ξ) ≤ 0, ∀ξ ∈ Ξ.SP : g(u, ξ) ≤ 0, P− a.s..
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Alternative cost functions I
When the cost L(u, ξ) is random it might be natural to wantto minimize its expectation E
[L(u, ξ)
].
This is even justified if the same problem is solved a largenumber of time (Law of Large Number).
In some cases the expectation is not really representative ofyour risk attitude. Lets consider two examples:
Are you ready to pay $1000 to have one chance over ten towin $10000 ?You need to be at the airport in 1 hour or you miss your flight,you have the choice between two mean of transport, one ofthem take surely 50’, the other take 40’ four times out of five,and 70’ one time out of five.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Alternative cost functions II
Here are some cost functions you might consider
Probability of reaching a given level of cost : P(L(u, ξ) ≤ 0)
Value-at-Risk of costs V@Rα(L(u, ξ)), where for any realvalued random variable X ,
V@Rα(X ) := inft∈R
{P(X ≥ t) ≤ α
}.
In other word there is only a probability of α of obtaining acost worse than V@Rα(X ).
Average Value-at-Risk of costs AV@Rα(L(u, ξ)), which is theexpected cost over the α worst outcomes.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Alternative constraints I
The natural extension of the deterministic constraintg(u, ξ) ≤ 0 to g(u, ξ) ≤ 0 P− as can be extremelyconservative, and even often without any admissible solutions.
For example, if u is a level of production that need to begreated than the demand. In a deterministic setting therealized demand is equal to the forecast. In a stochasticsetting we add an error to the forecast. If the error isunbouded (e.g. Gaussian) no control u is admissible.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Alternative constraints II
Here are a few possible constraints
E[g(u, ξ)
]≤ 0, for quality of service like constraint.
P(g(u, ξ) ≤ 0) ≥ 1− α for chance constraint. Chanceconstraint is easy to present, but might lead to misconceptionas nothing is said on the event where the constraint is notsatisfied.
AV@Rα(g(u, ξ)) ≤ 0
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Contents
1 Dealing with UncertaintySome difficulty with uncertaintyStochastic Programming Modelling
2 Value and Price of InformationInformation FrameworkPrice of informationHeuristics
3 Sample Average ApproximationConstraint in costChance constraint
V. Leclere Stochastic Programming 25/11/2016 8 / 39
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
One-Stage Problem
Assume that Ξ as a discrete distribution, with P(ξ = ξi
)= pi > 0
for i ∈ J1, nK. Then, the one-stage problem
minu0
E[L(u0, ξ)
]s.t. g(u0, ξ) ≤ 0, P− a.s
can be written
minu0
n∑i=1
piL(u0, ξi )
s.t g(u0, ξi ) ≤ 0, ∀i ∈ J1, nK.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Recourse Variable
In most problem we can make a correction u1 once the uncertaintyis known:
u0 ξ1 u1.
As the recourse control u1 is a function of ξ it is a randomvariable. The two-stage optimization problem then reads
minu0
E[L(u0, ξ,u1)
]s.t. g(u0, ξ,u1) ≤ 0, P− a.s
σ(u1) ⊂ σ(ξ)
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Two-stage Problem
The extensive formulation of
minu0
E[L(u0, ξ,u1)
]s.t. g(u0, ξ,u1) ≤ 0, P− a.s
is
minu0,{ui1}i∈J1,nK
n∑i=1
piL(u0, ξi , ui1)
s.t g(u0, ξi , ui1) ≤ 0, ∀i ∈ J1, nK.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Recourse assumptions
We say that we are in a complete recourse framework, if for allu0, and all possible outcome ξ, every control u1 is admissible.
We say that we are in a relatively complete recourseframework, if for all u0, and all possible outcome ξ, thereexists a control u1 that is admissible.
For a lot of algorithm relatively complete recourse is acondition of convergence. It means that there is no inducedconstraints.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Multi-stage Problem
We can consider a multi-stage problems with successivedecisions and aleas
u0 ξ1 u1 ξ2 · · · uT .
If each each alea ξi has 10 possible realizations, then there are
1 control u0
10 control ui1100 control ui2...
In practice only two or three-stage problem can be solved byStochastic Programming approaches.
Remark : a stage is not necessarily a time-step.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Contents
1 Dealing with UncertaintySome difficulty with uncertaintyStochastic Programming Modelling
2 Value and Price of InformationInformation FrameworkPrice of informationHeuristics
3 Sample Average ApproximationConstraint in costChance constraint
V. Leclere Stochastic Programming 25/11/2016 13 / 39
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Two-stage framework : three information models
Consider the problem
minu0,u1
E[L(u0, ξ,u1
]Open-Loop approach : u0 and u1 are deterministic. In thiscase both controls are choosen without any knowledge of thealea ξ. The set of control is small, and an optimal control canbe found through specific method (e.g. Stochastic Gradient).
Two-Stage approach : u0 is deterministic and u1 ismeasurable with respect to ξ. This is the problem tackled byStochastic Programming method.
Anticipative approach : u0 and u1 are measurable withrespect to ξ. This approach consists in solving onedeterministic problem per possible outcome of the alea, andtaking the expectation of the value of this problems.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Comparing the models
By simple comparison of constraints we have
V anticipative ≤ V 2−stage ≤ VOL.
VOL can be approximated through specific methods (e.g.Stochastic Gradient).V 2−stage is obtained through Stochastic Programming specificmethods. There are two main approaches:
Lagrangian decomposition methods (like Progressive-Hedgingalgorithm).Benders decomposition methods (like L-shaped ornested-decomposition methods).
V anticipative is difficult to compute exactly but can beestimated through Monte-Carlo approach by drawing areasonable number of realizations of ξ, solving thedeterministic problem for each ξ and taking the means of thevalues.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Information structures in the multistage setting
Open-Loop Every decision (ut)t∈J0,T−1K is taken before anynoises (ξt)t∈J0,T−1K is known. We decide a planning,and stick to it.
Decision Hazard Decision ut is taken knowing all past noisesξ0, . . . , ξt , but not knowing ξt+1, . . . , ξT .
Hazard Decision Decision ut is taken knowing all past noisesξ0, . . . , ξt , and the next noise ξt+1 but not knowingξt+2, . . . , ξT .
Anticipative Every decision (ut)t∈J0,T−1K is taken knowing thewhole scenario (ξt)t∈J0,T−1K. There is onedeterministic optimization problem by scenario.
With the same objective function this gives better and better valueas the solution use more and more information.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Information structures: comments
Open-Loop This case can happen in practice (e.g. fixedplanning). There are specific methods to solve thistype of optimization problem (e.g. stochasticgradient methods).
Decision Hazard The decision ut is taken at the beginning ofperiod [t, t + 1[. The decision is alwaysimplementable, and might be conservative as itdoesnot leverage any prediction over the noise in[t, t + 1[.
Hazard Decision The decision ut is taken at the end of period[t, t + 1[. The modelization is optimistic as itassumes perfect knowledge that might not beavailable in practice.
Anticipative This problem is never realistic. However it is a lowerbound of the real problem that can be estimatedthrough Monte-Carlo and deterministic optimization.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Contents
1 Dealing with UncertaintySome difficulty with uncertaintyStochastic Programming Modelling
2 Value and Price of InformationInformation FrameworkPrice of informationHeuristics
3 Sample Average ApproximationConstraint in costChance constraint
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Expected value of information
We call Expected value of information the difference of valuebetween the real information framework and an anticipativesolution (if you had a crystal ball)
EVPI = v2−stage − vanticipative .
We are now going to give a price to knowing on which scenario weare.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Expected value of information
We call Expected value of information the difference of valuebetween the real information framework and an anticipativesolution (if you had a crystal ball)
EVPI = v2−stage − vanticipative .
We are now going to give a price to knowing on which scenario weare.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Two-stage Problem
Recall that the extensive formulation of
minu0
E[L(u0, ξ,u1)
]s.t. g(u0, ξ,u1) ≤ 0, P− a.s
is
minu0,{ui1}i∈J1,nK
n∑i=1
piL(u0, ξi , ui1)
s.t g(u0, ξi , ui1) ≤ 0, ∀i ∈ J1, nK.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Rewriting non-anticipativity constraint
Which we can equivalently write
min{ui0,ui1}i∈J1,nK
n∑i=1
piL(ui0, ξi , ui1)
s.t g(ui0, ξi , ui1) ≤ 0, ∀i ∈ J1, nK
ui = uj , ∀i , ∀j ,
Or again
min{ui0,ui1}i∈J1,nK
n∑i=1
piL(ui0, ξi , ui1)
s.t g(ui0, ξi , ui1) ≤ 0, ∀i ∈ J1, nK
ui0 =n∑
i=1
piuj0, ∀i
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Dualizing non-anticipativity constraint
Dualizing the non-anticipativity constraint we obtain
min{ui0,ui1}i∈J1,nK
maxλ:∑n
i=1 piλi=0
n∑i=1
pi
[L(u0, ξi , u
i1) + λiu
i0
]s.t g(u0, ξi , u
i1) ≤ 0, ∀i ∈ J1, nK
With dual
maxλ:∑n
i=1 piλi=0
n∑i=1
pi min{ui0,ui1}i∈J1,nK
L(u0, ξi , ui1) + λiu
i0
s.t g(u0, ξi , ui1) ≤ 0
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
References
Lectures on Stochastic Programming (Dentcheva,Ruszczynski, Shapiro) chap. 2
Scenarios and policy aggregation in optimization underuncertainty, (Rockafellar, Wets) 1991
keyword : progressive-hedging
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Contents
1 Dealing with UncertaintySome difficulty with uncertaintyStochastic Programming Modelling
2 Value and Price of InformationInformation FrameworkPrice of informationHeuristics
3 Sample Average ApproximationConstraint in costChance constraint
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Open-Loop Feedback approach
Another road toward the multistage, that doesnot really relyon a probabilistic vision of the world consists in:
consider a forecast of the futur noisessolve the deterministic problemapply the first controls until you have more information on thescenario (either because the forecast is not exact or becauseyou can refine the forecast)resolve the deterministic problem with the new informationrepeat
Open-Loop Feedback is easy to implement, but it is hard togive theoretical guarantees.
Open-Loop Feedback doesnot take into account the fact thatwe might need to modify the solution later on.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Repeated Two-stage Stochastic Programming
Multi-stage stochastic program are numerically extremelydifficult to solve (without Markovian assumption).
Open-Loop Feedback control doesnot integrate thestochasticity of the problem when designing a solution.
A mid-way approach consists at any step t to design atwo-stage program in order to determine the first stagecontrol ut to apply to the system. The recourse controls willnot be used.
Questions arise as to what should be first stage control andwhat should be recourse variable.
In any cases this type of approach are only heuristics solutionto multi-stage approach.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Contents
1 Dealing with UncertaintySome difficulty with uncertaintyStochastic Programming Modelling
2 Value and Price of InformationInformation FrameworkPrice of informationHeuristics
3 Sample Average ApproximationConstraint in costChance constraint
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
How to deal with continuous distributions ?
Recall that if ξ as finite support we rewrite the 2-stage problem
minu0
E[L(u0, ξ,u1)
]s.t. g(u0, ξ,u1) ≤ 0, P− a.s
as
minu0,{ui1}i∈J1,nK
n∑i=1
piL(u0, ξi , ui1)
s.t g(u0, ξi , ui1) ≤ 0, ∀i ∈ J1, nK.
If we consider a continuous distribution (e.g. a Gaussian), wewould need an infinite number of recourse variables to obtain anextensive formulation.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Simplest idea: sample ξ
First consider the one-stage problem
minu∈Rn
E[L(u, ξ)
](P)
Draw a sample (ξ1, . . . , ξN) (in a i.i.d setting with law ξ).
Consider the empirical probability PN =1
N
∑Ni=1 δξi .
Replace P by PN to obtain a finite-dimensional problem thatcan be solved.
This means solving
minu∈Rn
1
N
N∑i=1
L(u, ξi ) (PN)
We denote by vN (resp. v∗) the value of (PN) (resp. (P)),and Sn the set of optimal solutions (resp. S∗).
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Consistence of estimators and convergence results
Generically speaking the estimators of the minimum are biased
E[vN
]≤ E
[vN+1
]≤ v∗
Under technical assumptions (compacity of admissiblesolution, lower semicontinuity of costs, ...) we obtain:
Law of Large Number extension: vN → v∗ almost surely(according to sampling probability).Convergence of controls: D(SN ,S
∗)→ 0 almost surely.Central Limit Theorem (S =
{u∗}
): (√N vN − v∗)→ Y u∗
where Yu∗ ∼ N (0, σ(L(u∗, ξ))).Central Limit Theorem extension:
√N(vN − v∗)→ infu Y u
where Yu ∼ N (0, σ(L(u, ξ))).
Good reference for precise results : Lectures on StochasticProgramming (Dentcheva, Ruszczynski, Shapiro) chap. 5.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Multi-stage SAA
2− stage problem are special cases of one-stage problem.
If there is relativaly complete recourse, above results applydirectly.
In the multi-stage case we have to generate a tree and notsimply scenario realizations.
Above results are still available, but the number N should bethe number of children at each time-step, thus the totalnumber of scenario is NT .
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Contents
1 Dealing with UncertaintySome difficulty with uncertaintyStochastic Programming Modelling
2 Value and Price of InformationInformation FrameworkPrice of informationHeuristics
3 Sample Average ApproximationConstraint in costChance constraint
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
A convex problem
We consider the following robust problem
minx∈X
cT x
s.t. g(x , ξ) ≤ 0 P− a.s.
assuming that g(·, ξ) is convex.The approach consists in drawing N independent sample of ξ,denoted
{ξi}i∈J1,nK, and solving the following relaxation
minx∈X
cT x
s.t. g(x , ξi ) ≤ 0 ∀i ∈ J1, nK
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
A convex problem
We consider the following robust problem
minx∈X
cT x
s.t. g(x , ξ) ≤ 0 P− a.s.
assuming that g(·, ξ) is convex.The approach consists in drawing N independent sample of ξ,denoted
{ξi}i∈J1,nK, and solving the following relaxation
minx∈X
cT x
s.t. g(x , ξi ) ≤ 0 ∀i ∈ J1, nK
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Solution confidence
We define the probability of violation for decision x ∈ Rn,
G (x) := P(g(x , ξ) > 0
).
For an independently drawn (from ξ) sample of size N, weconstruct the SAA problem and denote xN the (assumed unique)optimal solution.
Then, we have
E[G (xN)
]≤ n
N + 1.
Consequently, by Markov, if we want with probability at least
1− β, a solution xN with G (xN) ≤ ε, we need to chooseN ≥ n
εβ − 1. A subtler bound can be determined :
N ≥ 2
εln(
1
β) + 2n +
2n
εln(
2
ε).
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Solution confidence
We define the probability of violation for decision x ∈ Rn,
G (x) := P(g(x , ξ) > 0
).
For an independently drawn (from ξ) sample of size N, weconstruct the SAA problem and denote xN the (assumed unique)optimal solution.
Then, we have
E[G (xN)
]≤ n
N + 1.
Consequently, by Markov, if we want with probability at least
1− β, a solution xN with G (xN) ≤ ε, we need to chooseN ≥ n
εβ − 1. A subtler bound can be determined :
N ≥ 2
εln(
1
β) + 2n +
2n
εln(
2
ε).
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Solution confidence
We define the probability of violation for decision x ∈ Rn,
G (x) := P(g(x , ξ) > 0
).
For an independently drawn (from ξ) sample of size N, weconstruct the SAA problem and denote xN the (assumed unique)optimal solution.
Then, we have
E[G (xN)
]≤ n
N + 1.
Consequently, by Markov, if we want with probability at least
1− β, a solution xN with G (xN) ≤ ε, we need to chooseN ≥ n
εβ − 1. A subtler bound can be determined :
N ≥ 2
εln(
1
β) + 2n +
2n
εln(
2
ε).
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Extensions
Non-unique optimum of SAA can be dealt with through adeterministic optimal solution selection.
Convex cost function can be dealt with through a re-writingof constraints: minimizing c(x) is equivalent to minimizing zunder the constraint c(x) ≤ z .
We can also deal with the case where an SAA problem isunbounded.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Problem formulation
The problem we want to solve reads
minx∈X
c(x)
s.t. P(g(x , ξ) ≤ 0
)≥ 1− ε
The approach consists in drawing N independent sample of ξ,denoted
{ξi}i∈J1,nK and approximating the law of the random
variable ξ by a uniform law over the samples denoted PN .The SAA problem consists in solving
minx∈X
c(x)
s.t. PN
(g(x , ξ) ≤ 0
)≥ 1− ε
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
SAA description
Let{ξi}i∈J1,NK be a sequence of i.i.d random samples of ξ. We
define
GN(x) :=1
N
N∑i=1
1{g(x ,ξi )>0
} →N G (x) := P(g(x , ξ) > 0).
The SAA problem of level γ is defined as
minx∈X
c(x)
s.t. GN(x) ≤ γ
Intuitively,
if γ ≤ ε then a feasible solution of the SAA is likely to befeasible for the original problem;
if γ ≥ ε then the optimal value of the SAA is likely to be alower bound for the original problem.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Notations and assumptions
We assume that
g(x , ·) is measurable, g(·, ξ) is continuous;
c is continuous, X is compact.
Then G and GN are lower-semicontinuous, and both problem haveoptimal solution if feasible.
We denote by
X ](ε) (resp. XN(γ)) the set of optimal solution for theoriginal problem (resp. the SAA approximation).
v(ε) the value of the original problem, and vN(γ) the optimalvalue of the SAA.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Notations and assumptions
We assume that
g(x , ·) is measurable, g(·, ξ) is continuous;
c is continuous, X is compact.
Then G and GN are lower-semicontinuous, and both problem haveoptimal solution if feasible.
We denote by
X ](ε) (resp. XN(γ)) the set of optimal solution for theoriginal problem (resp. the SAA approximation).
v(ε) the value of the original problem, and vN(γ) the optimalvalue of the SAA.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Convergence theory
If γ = ε, we have vN(ε)→N v(ε) and XN(ε)→N X ](ε) withprobability one.
If γ > ε, P(vn(γ) ≤ v(ε)
)→ 1 exponentially fast (e−κN , with
κ := (γ − ε)2/(2ε)).
Similarly, if γ < ε, the probability of an SAA-admissiblesolution to be admissible for the true problem converges to 1exponentially fast. We can deduce the a-priori sample sizerequired to obtain a feasible solution with high probability.
Under reasonable regularity assumption, γ = ε is the optimalchoice.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Convergence theory
If γ = ε, we have vN(ε)→N v(ε) and XN(ε)→N X ](ε) withprobability one.
If γ > ε, P(vn(γ) ≤ v(ε)
)→ 1 exponentially fast (e−κN , with
κ := (γ − ε)2/(2ε)).
Similarly, if γ < ε, the probability of an SAA-admissiblesolution to be admissible for the true problem converges to 1exponentially fast. We can deduce the a-priori sample sizerequired to obtain a feasible solution with high probability.
Under reasonable regularity assumption, γ = ε is the optimalchoice.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Convergence theory
If γ = ε, we have vN(ε)→N v(ε) and XN(ε)→N X ](ε) withprobability one.
If γ > ε, P(vn(γ) ≤ v(ε)
)→ 1 exponentially fast (e−κN , with
κ := (γ − ε)2/(2ε)).
Similarly, if γ < ε, the probability of an SAA-admissiblesolution to be admissible for the true problem converges to 1exponentially fast. We can deduce the a-priori sample sizerequired to obtain a feasible solution with high probability.
Under reasonable regularity assumption, γ = ε is the optimalchoice.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Convergence theory
If γ = ε, we have vN(ε)→N v(ε) and XN(ε)→N X ](ε) withprobability one.
If γ > ε, P(vn(γ) ≤ v(ε)
)→ 1 exponentially fast (e−κN , with
κ := (γ − ε)2/(2ε)).
Similarly, if γ < ε, the probability of an SAA-admissiblesolution to be admissible for the true problem converges to 1exponentially fast. We can deduce the a-priori sample sizerequired to obtain a feasible solution with high probability.
Under reasonable regularity assumption, γ = ε is the optimalchoice.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Solution validation
Consider that we have a candidate solution x for the true problem.
To check the feasability, we consider GN(x) as an unbiasedestimator of G . It is then easy to obtain an asymptotic upperbound (confidence β) on G :
GN(x) + Φ−1(β)
√GN(x)(1− GN(x))/N,
to compare to ε.
To obtain a lower bound for the optimal cost it is enough tosolve a number of independent SAA approximation, andtaking the minimum of the SAA value. In fact depending onthe confidence β required of the lower bound, we candetermine the number and sizes of SAA problems, and takethe k-th smaller SAA-value instead of the smallest value see[Ahmed2008] for more information.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Solution validation
Consider that we have a candidate solution x for the true problem.
To check the feasability, we consider GN(x) as an unbiasedestimator of G . It is then easy to obtain an asymptotic upperbound (confidence β) on G :
GN(x) + Φ−1(β)
√GN(x)(1− GN(x))/N,
to compare to ε.
To obtain a lower bound for the optimal cost it is enough tosolve a number of independent SAA approximation, andtaking the minimum of the SAA value. In fact depending onthe confidence β required of the lower bound, we candetermine the number and sizes of SAA problems, and takethe k-th smaller SAA-value instead of the smallest value see[Ahmed2008] for more information.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Solution validation
Consider that we have a candidate solution x for the true problem.
To check the feasability, we consider GN(x) as an unbiasedestimator of G . It is then easy to obtain an asymptotic upperbound (confidence β) on G :
GN(x) + Φ−1(β)
√GN(x)(1− GN(x))/N,
to compare to ε.
To obtain a lower bound for the optimal cost it is enough tosolve a number of independent SAA approximation, andtaking the minimum of the SAA value. In fact depending onthe confidence β required of the lower bound, we candetermine the number and sizes of SAA problems, and takethe k-th smaller SAA-value instead of the smallest value see[Ahmed2008] for more information.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
MIP formulation
A MIP SAA formulation consists in drawing N sample of ξ andsolving
minx∈X
c(x)
s.t. g(x , ξj) ≤ Mjzj ∀j ∈ J1,NKN∑j=1
zj ≤ γN
zj ∈{
0, 1}
∀j ∈ J1,NK
Where Mj is a large positive number such that
Mj ≥ maxx∈X g(x , ξj). Hence,∑N
j=1 zj ≤ γN imply that theconstraint is satisfied on (1− γ)N sample.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Applications ?
Generally speaking a MIP formulation is hard to solve.
If c is convex, X convex it is slightly better.
If c is linear, X is conic there exists academic algorithms.
If c is linear, X polyhhedral the problem is MILP and goodoff-the-shelf solver are pretty efficient and allow for reasonableproblem.
In any case, knowing tight bounds greatly increase the solverefficiency, and specific bounds can be obtained especially in theseparable case.
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Dealing with Uncertainty Value and Price of Information Sample Average Approximation Conclusion
Conclusion
Ignoring uncertainty in modelization can be really misleading.
Costs, constraints, optimal solution are more difficult torepresent in an uncertain framework.
Risk attitude is key and not easy to modelize.
Multistage stochastic optimization problem are reallychallenging numerically.
Two main approaches (for exact solution):
Simplify the information structure to fit a 2 or 3-stageStochastic Programming framework;Make Markovian assumption to use Dynamic Programmingapproaches.
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