Statistical physics of optimization under uncertainty

TL;DR

This paper introduces a novel approach and an algorithm based on Survey Propagation for solving large-scale stochastic optimization problems with partial information, demonstrated on bipartite matching scenarios.

Contribution

It presents a general method for stochastic optimization under uncertainty and a Survey Propagation based algorithm that avoids sampling, validated through large-scale simulations.

Findings

Efficient solution method for large-scale stochastic optimization.

Validated analytical predictions with numerical simulations.

Applicable to multi-stage bipartite matching problems.

Abstract

Optimization under uncertainty deals with the problem of optimizing stochastic cost functions given some partial information on their inputs. These problems are extremely difficult to solve and yet pervade all areas of technological and natural sciences. We propose a general approach to solve such large-scale stochastic optimization problems and a Survey Propagation based algorithm that implements it. In the problems we consider some of the parameters are not known at the time of the first optimization, but are extracted later independently of each other from known distributions. As an illustration, we apply our method to the stochastic bipartite matching problem, in the two-stage and multi-stage cases. The efficiency of our approach, which does not rely on sampling techniques, allows us to validate the analytical predictions with large-scale numerical simulations.