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On multiple simple recourse models

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  • Vlerk, Maarten H. van der

    (Groningen University)

Abstract

We consider multiple simple recourse (MSR) models, both continuous and integer versions, which generalize the corresponding simple recourse (SR) models by allowing for a refined penalty cost structure for individual shortages and surpluses. It will be shown that (convex approximations of) such MSR models can be represented as explicitly specified continuous SR models, and thus can be solved efficiently by existing algorithms.

Suggested Citation

  • Vlerk, Maarten H. van der, 2002. "On multiple simple recourse models," Research Report 02A06, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    • Handle: RePEc:gro:rugsom:02a06
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    File URL: http://irs.ub.rug.nl/ppn/238235688
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    References listed on IDEAS

    as
    1. KLEIN HANEVELD, W. K. & STOUGIE, L. & van der VLERK, M. H., 1996. "An algorithm for the construction of convex hulls in simple integer recourse programming," LIDAM Reprints CORE 1215, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. repec:dgr:rugsom:00a52 is not listed on IDEAS
    3. Dupacova, Jitka & Gaivoronski, Alexei & Kos, Zdenek & Szantai, Tamas, 1991. "Stochastic programming in water management: A case study and a comparison of solution techniques," European Journal of Operational Research, Elsevier, vol. 52(1), pages 28-44, May.
    4. Vlerk, Maarten H. van der, 2002. "Convex approximations for complete integer recourse models," Research Report 02A21, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    5. Vlerk, Maarten H. van der & Klein Haneveld, W.K. & Drijver, S.J., 2000. "Asset liability management modeling using multi-stage mixed-integer stochastic programming," Research Report 00A52, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    6. repec:dgr:rugsom:02a21 is not listed on IDEAS
    7. KLEIN HANEVELD, Willem K. & STOUGIE, Leen & VAN der VLERK, M.H., 1995. "On the Convex Hull of the Composition of a Separable and a Linear Function," LIDAM Discussion Papers CORE 1995070, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    8. Stein W. Wallace & Stein-Erik Fleten, 2002. "Stochastic programming in energy," GE, Growth, Math methods 0201001, University Library of Munich, Germany, revised 13 Nov 2003.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Peter Kall & János Mayer, 2006. "Some insights into the solution algorithms for SLP problems," Annals of Operations Research, Springer, vol. 142(1), pages 147-164, February.
    2. repec:dgr:rugsom:03a01 is not listed on IDEAS
    3. Klein Haneveld, Willem K. & Vlerk, Maarten H. van der, 2002. "Integrated chance constraints: reduced forms and an algorithm," Research Report 02A33, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    4. repec:dgr:rugsom:03a14 is not listed on IDEAS
    5. repec:dgr:rugsom:02a21 is not listed on IDEAS
    6. Vlerk, Maarten H. van der, 2003. "Simplification of recourse models by modification of recourse data," Research Report 03A01, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    7. repec:dgr:rugsom:02a33 is not listed on IDEAS
    8. Stougie, Leen & Vlerk, Maarten H. van der, 2003. "Approximation in stochastic integer programming," Research Report 03A14, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    9. Vlerk, Maarten H. van der, 2002. "Convex approximations for complete integer recourse models," Research Report 02A21, University of Groningen, Research Institute SOM (Systems, Organisations and Management).

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