|edoc-Server der Humboldt-Universität zu Berlin|
|Author(s):||Maarten H. van der Vlerk, University of Groningen||Title:||Convex approximations for complete integer recourse models|
|Date of Acceptance:||26.05.2002|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Keywords (eng):||convex approximation, integer recourse|
Mathematical programming 2 (Vol. 99, 2004)
Springer (Berlin [u.a.])
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|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.|
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