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Convex approximations for a class of mixed-integer recourse models

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Author Info
Vlerk, Maarten H. van der (Groningen University)
Abstract

We consider mixed-integer recourse (MIR) models with a single recourse constraint.We relate the secondstage 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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File URL: http://irs.ub.rug.nl/ppn/274751941
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Paper provided by University of Groningen, Research Institute SOM (Systems, Organisations and Management) in its series Research Report with number 04A28.

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Date of creation: 2004
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Handle: RePEc:dgr:rugsom:04a28

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