From Sequential to Parallel: Reformulating Dynamic Programming as GPU Kernels for Large-Scale Stochastic Combinatorial Optimization
A major bottleneck in scenario-based Sample Average Approximation (SAA) for stochastic programming (SP) is the cost of solving an exact second-stage problem for every scenario, especially when each scenario contains an NP-hard combinatorial structure. This has led much of the SP literature to restrict the second stage to linear or simplified models. We develop a GPU-based framework that makes structured integer recourse operators tractable at scale. The key innovation is a set of hardware-aware, scenario-batched GPU kernels that expose parallelism across scenarios, dynamic-programming (DP) layers, and route or action options, enabling Bellman updates to be executed in a single pass over more than 1,000,000 realizations. We evaluate the approach in two representative SP settings: a vectorized split operator for stochastic vehicle routing and a DP for inventory reinsertion. Implementation scales nearly linearly in the number of scenarios and achieves a one-two to four-five orders of magnitude speedup, allowing far larger scenario sets and reliably stronger first-stage decisions. The computational leverage directly improves decision quality: much larger scenario sets and many more first-stage candidates can be evaluated within fixed time budgets, consistently yielding stronger SAA solutions. Our results show that structured integer recourse operators are tractable at scales previously considered impossible, providing a practical path to large-scale, realistic stochastic discrete optimization.