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A Multilevel Search Algorithm for the Maximization of Submodular Functions

  • Goldengorin, Boris
  • Ghosh, Diptesh

    (Groningen University)

We consider the objective function of a simple recourse problem with fixed technology matrix and integer second-stage variables. Separability due to the simple recourse structure allows to study a one-dimensional version instead. Based on an explicit formula for the objective function, we derive a complete description of the class of probability density functions such that the objective function is convex. This result is also stated in terms of random variables. Next, we present a class of convex approximations of the objective function, which are obtained by perturbing the distributions of the right-hand side parameters. We derive a uniform bound on the absolute error of the approximation. Finally, we give a representation of convex simple integer recourse problems as continuous simple recourse problems, so that they can be solved by existing special purpose algorithms

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Paper provided by University of Groningen, Research Institute SOM (Systems, Organisations and Management) in its series Research Report with number 04A20.

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Date of creation: 2004
Date of revision:
Handle: RePEc:dgr:rugsom:04a20
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  1. Boris Goldengorin & Gerard Sierksma & Gert A. Tijssen & Michael Tso, 1999. "The Data-Correcting Algorithm for the Minimization of Supermodular Functions," Management Science, INFORMS, vol. 45(11), pages 1539-1551, November.
  2. Goldengorin, Boris & Ghosh, Diptesh & Sierksma Gerard, . "Data Correcting Algorithms in Combinatorial Optimization," IIMA Working Papers WP2004-04-05, Indian Institute of Management Ahmedabad, Research and Publication Department.
  3. Fred Glover & Gary A. Kochenberger & Bahram Alidaee, 1998. "Adaptive Memory Tabu Search for Binary Quadratic Programs," Management Science, INFORMS, vol. 44(3), pages 336-345, March.
  4. Beasley, J. E., 1993. "Lagrangean heuristics for location problems," European Journal of Operational Research, Elsevier, vol. 65(3), pages 383-399, March.
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