| edoc-Server der Humboldt-Universität zu Berlin |
| Author(s): | Maarten H. van der Vlerk, University of Groningen | Title: | Convex approximations for a class of mixed-integer recourse models |
| Date of Acceptance: | 11.04.2005 |
| Submission Date: | 11.01.2005 |
| Series Title: |
Stochastic Programming E-Print Series (SPEPS) |
| Editors: | Julie L. Higle; Werner Römisch; Surrajeet Sen |
| Complete Preprint: | pdf (urn:nbn:de:kobv:11-10059843) |
| Keywords (eng): | convex approximation, mixed-integer recourse |
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| Abstract (eng): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 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. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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