Abstract
The minmax regret problem for combinatorial optimization under uncertainty can be viewed as a zero-sum game played between an optimizing player and an adversary, where the optimizing player selects a solution and the adversary selects costs with the intention of maximizing the regret of the player. The conventional minmax regret model considers only deterministic solutions/strategies, and minmax regret versions of most polynomial solvable problems are NP-hard. In this paper, we consider a randomized model where the optimizing player selects a probability distribution (corresponding to a mixed strategy) over solutions and the adversary selects costs with knowledge of the player’s distribution, but not its realization. We show that under this randomized model, the minmax regret version of any polynomial solvable combinatorial problem becomes polynomial solvable. This holds true for both interval and discrete scenario representations of uncertainty. Using the randomized model, we show new proofs of existing approximation algorithms for the deterministic model based on primal-dual approaches. We also determine integrality gaps of minmax regret formulations, giving tight bounds on the limits of performance gains from randomization. Finally, we prove that minmax regret problems are NP-hard under general convex uncertainty.
Research supported in part by NASA ESTOs Advanced Information System Technology (AIST) program under grant number NNX12H81G. Also supported by NSF grant 1029603, ONR grant N00014-12-1-0033, and AFOSR grant FA9550-12-1-0136.
Lawrence Livermore National Laboratory is operated by Lawrence Livermore National Security, LLC, for the U.S. Department of Energy, National Nuclear Security Administration under Contract DE-AC52-07NA27344.
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Mastin, A., Jaillet, P., Chin, S. (2015). Randomized Minmax Regret for Combinatorial Optimization Under Uncertainty. In: Elbassioni, K., Makino, K. (eds) Algorithms and Computation. ISAAC 2015. Lecture Notes in Computer Science(), vol 9472. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-48971-0_42
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