Stochastic optimization by message passing

TitleStochastic optimization by message passing
Publication TypeJournal Article
Year of Publication2011
AuthorsAltarelli F, Braunstein A, Ramezanpour A, Zecchina R
JournalJOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT
Volume2011
Start PageP11009
Abstract

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.

URLhttp://arxiv.org/abs/1003.6124