(SPEPS)
Springer (Berlin [u.a.])
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| 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 |
| Submission Date: | 17.04.2002 |
| Series Title: |
Stochastic Programming E-Print Series (SPEPS) |
| Editors: | Julie L. Higle; Werner Römisch; Surrajeet Sen |
| Keywords (eng): | convex approximation, integer recourse |
| Appeared in: |
Mathematical programming 2 (Vol. 99, 2004)
Springer (Berlin [u.a.]) |
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Endnote Bibtex |
| Abstract (eng): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 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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