Convex approximations for complete integer recourse models

Maarten H. van der Vlerk
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Maarten H. van der Vlerk: Groningen University

No 02A21, Research Report from University of Groningen, Research Institute SOM (Systems, Organisations and Management)

Abstract: 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 that is strictly better than the one obtained from the LP relaxation.

Date: 2002
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