Efficient sequential and parallel algorithms for multistage stochastic integer programming using proximity
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We consider the problem of solving integer programs of the form min{ c^⊺ x Ax=b, x≥ 0}, where A is a multistage stochastic matrix in the following sense: the primal treedepth of A is bounded by a parameter d, which means that the columns of A can be organized into a rooted forest of depth at most d so that columns not bound by the ancestor/descendant relation in the forest do not have non-zero entries in the same row. We give an algorithm that solves this problem in fixed-parameter time f(d,A_∞)· nlog^O(2^d) n, where f is a computable function and n is the number of rows of A. The algorithm works in the strong model, where the running time only measures unit arithmetic operations on the input numbers and does not depend on their bitlength. This is the first fpt algorithm for multistage stochastic integer programming to achieve almost linear running time in the strong sense. For the case of two-stage stochastic integer programs, our algorithm works in time 2^(2A_∞)^O(r(r+s))· nlog^O(rs) n. The algorithm can be also parallelized: we give an implementation in the PRAM model that achieves running time f(d,A_∞)·log^O(2^d) n using n processors. The main conceptual ingredient in our algorithms is a new proximity result for multistage stochastic integer programs. We prove that if we consider an integer program P, say with a constraint matrix A, then for every optimum solution to the linear relaxation of P there exists an optimum (integral) solution to P that lies, in the ℓ_∞-norm, within distance bounded by a function of A_∞ and the primal treedepth of A. On the way to achieve this result, we prove a generalization and considerable improvement of a structural result of Klein for multistage stochastic integer programs.
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