Statistical physics of optimization under uncertainty

Details Statistical physics of optimization under uncertainty Statistical physics of optimization under uncertainty

2010-03-31

arxiv.org/abs/1003.6124v2

Physics

Condensed Matter

Statistical Mechanics

This article has been withdrawn because it was replaced by arXiv:1105.3657 with a different name

Scientific paper

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.

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