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Convex approximations for complete integer recourse models

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.
Year of publication:
2002
Authors: Vlerk, Maarten H. van der
Institutions: Faculteit Economie en Bedrijfskunde, Rijksuniversiteit Groningen
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
The text is part of a series Research Reports Number 02A21
Source:
Persistent link: https://www.econbiz.de/10011251295
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