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

DOI10.1016/J.ORL.2011.11.007MaRDI QIDQ435735zbMATH OpenOpenAlexFDO

Authors Qie He, S. Ahmed, G. L. Nemhauser

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

approximation algorithminteger programmingstochastic programmingsubmodular maximization

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(4)

• The discrete sell or hold problem with constraints on asset values
• Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
• The submodularity of two-stage stochastic maximum-weight independent set problems
• Two-stage stochastic max-weight independent set problems

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