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SPEPS Preprint

Author(s): Maarten H. van der Vlerk, University of Groningen
Title: On Multiple Simple Recourse models
Date of Acceptance: 02.05.2002
Submission Date: 01.03.2002
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint: pdf (urn:nbn:de:kobv:11-10058397)
Keywords (eng): convex approximation, integer recourse, simple recourse
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Abstract (eng):
We consider multiple simple recourse (MSR) models, both continuous and integer versions, which generalize the corresponding simple recourse (SR) models by allowing for a refined penalty cost structure for individual shortages and surpluses. It will be shown that (convex approximations of) such MSR models can be repre-sented as explicitly specified continuous SR models, and thus can be solved efficiently by existing algorithms.
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