Name: Convex approximations for a class of mixed-integer recourse models
Creator: Vlerk, Maarten H. van der
Keywords: ddc:510, Convex approximation, RISK, Decision Sciences(all), convex approximation, 0211 other engineering and technologies, Stochastic programming, 510 Mathematik, STOCHASTIC PROGRAMS, Waarschijnlijkheidsrekening

descriptionPublicationkeyboard_double_arrow_right Article , Book , Research , Preprint 18 Jul 2009Embargo end date: 15 Jun 2017 English Publisher:Springer Science and Business Media LLCJournal:Annals of Operations Research, volume 177, pages 139-150 (issn: 0254-5330, eissn: 1572-9338,

Authors: Vlerk, Maarten H. van der;

doi: 10.1007/s10479-009-0591-7 , 10.18452/2964

handle: 11370/c20c4529-920d-44fd-be03-227b5359e7ed , 11370/6fb5ec81-9eef-4e6c-9a99-802da73ec0de , 11370/ba4e3032-16ee-4714-adde-44dabfa03f11

Convex approximations for a class of mixed-integer recourse models

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Abstract

We consider mixed-integer recourse (MIR) models with a single recourse constraint. We relate the second-stage 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.

Related Organizations

University of Groningen
Netherlands
Humboldt-Universität zu Berlin
Germany

Keywords

ddc:510, Convex approximation, RISK, Decision Sciences(all), convex approximation, Stochastic programming, 510 Mathematik, STOCHASTIC PROGRAMS, Waarschijnlijkheidsrekening, Management Science and Operations Research, Mixed-integer recourse, BRANCH, Mixed integer programming, Mathematische programmering, mixed-integer recourse

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