Convex approximations for complete integer recourse models
نویسندگان
چکیده
منابع مشابه
Convex approximations for complete integer recourse models
We consider convex approximations of the expected value function of a two-stage integer recourse problem. The convex approximations are obtained by perturbing the distribution of the random right-hand side vector. It is shown that the approximation is optimal for the class of problems with totally unimodular recourse matrices. For problems not in this class, the result is a convex lower bound t...
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We consider mixed-integer recourse (MIR) models with a single recourse constraint. We relate the secondstage value function of such problems to the expected simple integer recourse (SIR) shortage function. This allows to construct convex approximations for MIR problems by the same approach used for SIR models.
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2004
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-003-0434-2