Sell or hold: A simple two-stage stochastic combinatorial optimization problem

DOI10.1016/j.orl.2011.11.007zbMath1242.90145OpenAlexW1979625029MaRDI QIDQ435735

Qie He, Shabbir Ahmed, Nemhauser, George I.

Publication date: 12 July 2012

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2011.11.007

zbMATH Keywords

stochastic programminginteger programmingapproximation algorithmsubmodular maximization

Mathematics Subject Classification ID

Abstract computational complexity for mathematical programming problems (90C60) Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59) Combinatorial optimization (90C27)

Related Items (3)

Two-stage stochastic max-weight independent set problems ⋮ The discrete sell or hold problem with constraints on asset values ⋮ The submodularity of two-stage stochastic maximum-weight independent set problems

Cites Work

• A factor \(\frac {1}{2}\) approximation algorithm for two-stage stochastic matching problems
• Hedging uncertainty: approximation algorithms for stochastic optimization problems
• Linear Programming under Uncertainty
• On Two-Stage Stochastic Minimum Spanning Trees
• Lectures on Stochastic Programming
• Maximizing Submodular Set Functions: Formulations and Analysis of Algorithms
• Symmetry and Approximability of Submodular Maximization Problems
• Non-monotone submodular maximization under matroid and knapsack constraints
• LP Rounding Approximation Algorithms for Stochastic Network Design
• Maximizing a Submodular Set Function Subject to a Matroid Constraint (Extended Abstract)

This page was built for publication: Sell or hold: A simple two-stage stochastic combinatorial optimization problem