Part of Advances in Neural Information Processing Systems 30 (NIPS 2017)
Omar El Housni, Vineet Goyal
Affine policies (or control) are widely used as a solution approach in dynamic optimization where computing an optimal adjustable solution is usually intractable. While the worst case performance of affine policies can be significantly bad, the empirical performance is observed to be near-optimal for a large class of problem instances. For instance, in the two-stage dynamic robust optimization problem with linear covering constraints and uncertain right hand side, the worst-case approximation bound for affine policies is $O(\sqrt m)$ that is also tight (see Bertsimas and Goyal (2012)), whereas observed empirical performance is near-optimal. In this paper, we aim to address this stark-contrast between the worst-case and the empirical performance of affine policies. In particular, we show that affine policies give a good approximation for the two-stage adjustable robust optimization problem with high probability on random instances where the constraint coefficients are generated i.i.d. from a large class of distributions; thereby, providing a theoretical justification of the observed empirical performance. On the other hand, we also present a distribution such that the performance bound for affine policies on instances generated according to that distribution is $\Omega(\sqrt m)$ with high probability; however, the constraint coefficients are not i.i.d.. This demonstrates that the empirical performance of affine policies can depend on the generative model for instances.