A PTAS for a Class of Stochastic Dynamic Programs

Abstract: We develop a framework for obtaining polynomial time approximation schemes (PTAS) for a class of stochastic dynamic programs. Using our framework, we obtain the first PTAS for the following stochastic combinatorial optimization problems: \probemax: We are given a set of $n$ items, each item $i\in [n]$ has a value $X_i$ which is an independent random variable with a known (discrete) distribution $\pi_i$. We can {\em probe} a subset $P\subseteq [n]$ of items sequentially. Each time after {probing} an item $i$, we observe its value realization, which follows the distribution $\pi_i$. We can {\em adaptively} probe at most $m$ items and each item can be probed at most once. The reward is the maximum among the $m$ realized values. Our goal is to design an adaptive probing policy such that the expected value of the reward is maximized. To the best of our knowledge, the best known approximation ratio is $1-1/e$, due to Asadpour \etal~\cite{asadpour2015maximizing}. We also obtain PTAS for some generalizations and variants of the problem and some other problems.