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arXiv 1301.2277cs.AIcs.DS
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一种求解大型随机匹配问题的聚类方法

A Clustering Approach to Solving Large Stochastic Matching Problems

Brown University(布朗大学);University of Pittsburgh(匹兹堡大学)

Milos Hauskrecht, Eli Upfal

摘要:

在这项工作中,我们专注于解决一类随机规划问题,出现在各种商业,投资和工业应用的有效的规划。这个问题最好用未来的买卖合同来描述。通过购买不太可靠,但价格较低的购买(供应)合同,公司或交易员可以覆盖更可靠,更昂贵的销售合同。我们的目标是最大限度地提高预期的净收益(利润),通过构建一个剂量,以最佳的投资组合出可用的购买和出售合同。这个随机规划问题可以表示为一个带补偿的两阶段随机线性规划问题。然而,这种形式化导致的解决方案是指数的可能的故障组合的数量。因此,这种方法对于大规模问题是不可行的。在这项工作中,我们探讨启发式近似技术,减轻效率问题。我们主要集中在聚类方法和设计的聚类导致良好的近似发现的算法。我们通过实验数据说明了该方法的质量和可行性。

英文摘要:

In this work we focus on efficient heuristics for solving a class of stochastic planning problems that arise in a variety of business, investment, and industrial applications. The problem is best described in terms of future buy and sell contracts. By buying less reliable, but less expensive, buy (supply) contracts, a company or a trader can cover a position of more reliable and more expensive sell contracts. The goal is to maximize the expected net gain (profit) by constructing a dose to optimum portfolio out of the available buy and sell contracts. This stochastic planning problem can be formulated as a two-stage stochastic linear programming problem with recourse. However, this formalization leads to solutions that are exponential in the number of possible failure combinations. Thus, this approach is not feasible for large scale problems. In this work we investigate heuristic approximation techniques alleviating the efficiency problem. We primarily focus on the clustering approach and devise heuristics for finding clusterings leading to good approximations. We illustrate the quality and feasibility of the approach through experimental data.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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