Convex approximations for a class of mixed-integer recourse models

Maarten Vlerk ()

Annals of Operations Research, 2010, vol. 177, issue 1, 139-150

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. Copyright The Author(s) 2010

Keywords: Mixed-integer recourse; Convex approximation (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s10479-009-0591-7

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