Approximation Algorithms for Stochastic and Risk-Averse Optimization

Abstract

We present improved approximation algorithms in stochastic optimization. We prove that the multistage stochastic versions of covering integer programs (such as set cover and vertex cover) admit essentially the same approximation algorithms as their standard (nonstochastic) counterparts; this improves upon work of Swamy and Shmoys which shows an approximability that depends multiplicatively on the number of stages. We also present approximation algorithms for facility location and some of its variants in the 2-stage recourse model, improving on previous approximation guarantees. We give a 2.2975-approximation algorithm in the standard polynomial-scenario model and an algorithm with an expected per-scenario 2.4957-approximation guarantee, which is applicable to the more general black-box distribution model.