Computational Finance – Financial Instruments
88 Citations•2022•
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An approach would be to relax this MILP to an LP and then use a randomized rounding technique to obtain a valid solution and show that the expected value of the objective after randomized rounding is within some approximation factor of the objectives in the relaxed LP solution.
Abstract
guarantee on the quality of the solution with respect to the optimal solution. One approach would be to relax this MILP to an LP and then use a randomized rounding technique to obtain a valid solution. Then show that the expected value of the objective after randomized rounding is within some approximation factor of the objective in the relaxed LP solution. Since the solution to the relaxed LP gives an upper bound on the solution to the MILP, you have your result.