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7

ANOR
2010

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Convex approximations for a class of mixed-integer recourse models

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Convex approximations for a class of mixed-integer recourse models

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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. Key words: mixed-integer recourse, convex approximation Mathematics Subject Classification: 90C15, 90C11

Maarten H. van der Vlerk

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ANOR 2010 | Convex Approximation | Mixed-integer Recourse | Single Recourse Constraint |

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Added	08 Dec 2010
Updated	08 Dec 2010
Type	Journal
Year	2010
Where	ANOR
Authors	Maarten H. van der Vlerk

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