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2011 IEEE 52nd Annual Symposium on Foundations of Computer Science (2011)
Palm Springs, California USA
Oct. 22, 2011 to Oct. 25, 2011
ISSN: 0272-5428
ISBN: 978-0-7695-4571-4
pp: 827-836
In the stochastic knapsack problem, we are given a knapsack of size B, and a set of items whose sizes and rewards are drawn from a known probability distribution. To know the actual size and reward we have to schedule the item -- when it completes, we get to know these values. The goal is to schedule the items (possibly making adaptive decisions based on the sizes seen so far) to maximize the expected total reward of items which successfully pack into the knapsack. We know constant-factor approximations when (i) the rewards and sizes are independent, and (ii) we cannot prematurely cancel items after we schedule them. What if either or both assumptions are relaxed? Related stochastic packing problems are the multi-armed bandit (and budgeted learning) problems, here one is given several arms which evolve in a specified stochastic fashion with each pull, and the goal is to (adaptively) decide which arms to pull, in order to maximize the expected reward obtained after B pulls in total. Much recent work on this problem focuses on the case when the evolution of each arm follows a martingale, i.e., when the expected reward from one pull of an arm is the same as the reward at the current state. What if the rewards do not form a martingale? In this paper, we give O(1)-approximation algorithms for the stochastic knapsack problem with correlations and/or cancellations. Extending the ideas developed here, we give O(1)-approximations for MAB problems without the martingale assumption. Indeed, we can show that previously proposed linear programming relaxations for these problems have large integrality gaps. So we propose new time-indexed LP relaxations, using a decomposition and "gap-filling" approach, we convert these fractional solutions to distributions over strategies, and then use the LP values and the time ordering information from these strategies to devise randomized adaptive scheduling algorithms.
Approximation Algorithms, Stochastic Optimization, Multi-Armed Bandits

A. Gupta, R. Krishnaswamy, R. Ravi and M. Molinaro, "Approximation Algorithms for Correlated Knapsacks and Non-martingale Bandits," 2011 IEEE 52nd Annual Symposium on Foundations of Computer Science(FOCS), Palm Springs, California USA, 2011, pp. 827-836.
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