Scaling Up the Sample Average Approximation Method for Stochastic Optimization with Applications to Trading Agents - Agent-Mediated Electronic Commerce - page 199

and prices is given, along with a fixed inventory. An optimal solution to DSP is a subset
of the orders that maximizes the total profit for which the total quantity does not exceed
inventory.

References

1. S. Ahmed and A. Shapiro. The sample average approximation method for stochastic pro-
grams with integer recourse. Submitted for publication , 2002.
2. R. Arunachalam and N. Sadeh. The 2003 supply chain management trading agent compe-
tition. In Third International Conference on Autonomous Agents and Multi-Agent Systems
Workshop on Trading Agent Design and Analysis , July 2004.
3. M. Benisch, A. Greenwald, I. Grypari, R. Lederman, V. Naroditskiy, and M. Tschantz. Botti-
celli: A supply chain management agent. In Third International Conference on Autonomous
Agents and Multiagent Systems , volume 3, pages 1174-1181, July 2004.
4. M. Benisch, A. Greenwald, V. Naroditskiy, and M. Tschantz. A stochastic programming
approach to TAC SCM. In Fifth ACM Conference on Electronic Commerce , pages 152-160,
May 2004.
5. John Birge and Francois Louveaux. Introduction to Stochastic Programming . Springer, New
York, 1997.
6. H. Chang, R. Givan, and E. Chong. On-line Scheduling Via Sampling. In Artificial Intelli-
gence Planning and Scheduling (AIPS) , pages 62-71, Breckenridge, Colorado, 2000.
7. S.F. Cheng, E. Leung, K.M. Lochner, K.O'Malley, D.M. Reeves, L.J. Schvartzman, and M.P.
Wellman. Walverine: A Walrasian trading agent. Decision Support Systems , page To Appear,
2004.
8. A. Greenwald and J. Boyan. Bidding algorithms for simultaneous auctions: A case study. In
Proceedings of Third ACM Conference on Electronic Commerce , 115-124 2001.
9. A.J. Kleywegt, A. Shapiro, and T. Homem de Mello. The sample average approximation

method for stochastic discrete optimization. SIAM Journal of Optimization , 12:479-502,

2001.
10. M.H. Rothkopf, A. Pekec, and R.M. Harstad. Computationally manageable combinatorial
auctions. Management Science , 44(8), 1998.
11. M.P. Wellman, P.R. Wurman, K. O'Malley, R. Bangera, S. Lin, D. Reeves, and W.E. Walsh.
A Trading Agent Competition. IEEE Internet Computing , April 2001.