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

DOI10.1016/J.ORL.2011.11.007zbMATH Open1242.90145OpenAlexW1979625029MaRDI QIDQ435735FDOQ435735

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

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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)

Cites Work

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

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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