Single-Source Stochastic Routing

We introduce and study the following model for routing un- certain demands through a network. We are given a capacitated mul- ticommodity o w network with a single source and multiple sinks, and demands that have known values but unknown sizes. We assume that the sizes of demands are governed by independent distributions, and that we know only the means of these distributions and an upper bound on the maximum-possible size. Demands are irrevocably routed one-by-one, and the size of a demand is unveiled only after it is routed. A routing policy is a function that selects an unrouted demand and a path for it, as a function of the residual capacity in the network. Our objective is to maximize the expected value of the demands successfully routed by our routing policy. We distinguish between safe routing policies, which never violate capacity constraints, and unsafe policies, which can attempt to route a demand on any path with strictly positive residual capacity. We design safe routing policies that obtain expected value close to that of an optimal unsafe policy in planar graphs. Unlike most previous work on similar stochastic optimization problems, our routing policies are fun- damentally adaptive. Our policies iteratively solve a sequence of linear programs to guide the selection of both demands and routes.