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Convex approximations for complete integer recourse models

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

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.

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File URL: http://irs.ub.rug.nl/ppn/239644395
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Paper provided by University of Groningen, Research Institute SOM (Systems, Organisations and Management) in its series Research Report with number 02A21.

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Date of creation: 2002
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Handle: RePEc:dgr:rugsom:02a21

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