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Convex approximations for complete integer recourse models

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An Erratum to this article was published on 12 July 2013

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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Authors and Affiliations

  1. Department of Econometrics & OR, University of Groningen, 800, 9700, AV Groningen, The Netherlands

    Maarten H. van der Vlerk

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  1. Maarten H. van der Vlerk
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Correspondence to Maarten H. van der Vlerk.

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Mathematics Subject Classification (1991): 90C15, 90C11

This research has been made possible by a fellowship of the Royal Netherlands Academy of Arts and Sciences.

An erratum to this article is available at http://dx.doi.org/10.1007/s10107-013-0699-z.

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Vlerk, M. Convex approximations for complete integer recourse models. Math. Program., Ser. A 99, 297–310 (2004). https://doi.org/10.1007/s10107-003-0434-2

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  • DOI: https://doi.org/10.1007/s10107-003-0434-2

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