About the Complexity of Two-Stage Stochastic IPs

Abstract

We consider so called $2$-stage stochastic integer programs (IPs) and their generalized form of multi-stage stochastic IPs. A $2$-stage stochastic IP is an integer program of the form $\max \{ c^T x \mid Ax = b, l \leq x \leq u, x \in \mathbb{Z}^{nt + s} \}$ where the constraint matrix $A \in \mathbb{Z}^{r \times s}$ consists roughly of $n$ repetition of a block matrix $A$ on the vertical line and $n$ repetitions of a matrix $B \in \mathbb{Z}^{r \times t}$ on the diagonal. In this paper we improve upon an algorithmic result by Hemmecke and Schultz form 2003 to solve $2$-stage stochastic IPs. The algorithm is based on the Graver augmentation framework where our main contribution is to give an explicit doubly exponential bound on the size of the augmenting steps. The previous bound for the size of the augmenting steps relied on non-constructive finiteness arguments from commutative algebra and therefore only an implicit bound was known that depends on parameters $r,s,t$ and $Δ$, where $Δ$ is the largest entry of the constraint matrix. Our new improved bound however is obtained by a novel theorem which argues about the intersection of paths in a vector space. As a result of our new bound we obtain an algorithm to solve $2$-stage stochastic IPs in time $poly(n,t) \cdot f(r,s,Δ)$, where $f$ is a doubly exponential function. To complement our result, we also prove a doubly exponential lower bound for the size of the augmenting steps.