2005-01-10Buch DOI: 10.18452/8330
Simple Integer Recourse Models
Convexity and Convex Approximations
Haneveld, Willem K. Klein
Vlerk, Maarten H. van der
We consider the objective function of a simple recourse problem with fixed technology matrix and integer second-stage variables. Separability due to the simple recourse structure allows to study a one-dimensional version instead.Based on an explicit formula for the objective function, we derive a complete description of the class of probability density functions such that the objective function is convex. This result is also stated in terms of random variables.Next, we present a class of convex approximations of the function, which are obtained by perturbing the distributions of the right-hand side parameters. We derive a uniform bound on the absolute error of the approximation. Finally, we give a representation of convex simple integer recourse problems as continuous simple recourse problems, so that they can be solved by existing special purpose algorithms.
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Is Part Of Series: Stochastic Programming E-Print Series - 1, SPEPS