sPaQLTooLs: A Stochastic Package Query Interface for Scalable Constrained Optimization

Matteo Brucato, Miro Mannino, Azza Abouzied, Peter J. Haas, Alexandra Meliou

Research output: Contribution to journalArticlepeer-review


Everyone needs to make decisions under uncertainty and with limited resources, e.g., an investor who is building a stock portfolio subject to an investment budget and a bounded risk tolerance. Doing this with current technology is hard. There is a disconnect between software tools for data management, stochastic predictive modeling (e.g., simulation of future stock prices), and optimization; this leads to cumbersome analytical workflows. Moreover, current methods do not scale. To handle a broad class of uncertainty models, analysts approximate the original stochastic optimization problem by a large deterministic optimization problem that incorporates many “scenarios”, i.e., sample realizations of the uncertain data values. For large problems, a huge number of scenarios is required, often causing the solver to fail. We demonstrate sPaQL-TooLs, a system for in-database specification and scalable solution of constrained optimization problems. The key ingredients are (i) a database-oriented specification of constrained stochastic optimization problems as “stochastic package queries” (SPQs), (ii) use of a Monte Carlo database to incorporate stochastic predictive models, and (iii) a new SUMMARYSEARCH algorithm for scalably solving SPQs with approximation guarantees. In this demonstration, the attendees will experience first-hand the difficulty of manually constructing feasible and high-quality portfolios, using real-world stock market data. We will then demonstrate how SUMMARY-SEARCH can easily and efficiently help them find very good portfolios, while being orders of magnitude faster than prior methods.

Original languageEnglish (US)
Pages (from-to)2881-2884
Number of pages4
JournalProceedings of the VLDB Endowment
Issue number12
StatePublished - 2020

ASJC Scopus subject areas

  • Computer Science (miscellaneous)
  • General Computer Science


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