Convex approximations for complete integer recourse models
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The author considers the two-stage integer recourse problem. Convex approximations of the expected value function are constructed. This gives an optimal solution for the class of problems with totally unimodular recourse matrix. For the general case the constructed convex approximation is a lower bound for the expected value function. It is proven that the proposed convex approximation is strictly better than the one obtained using the LP relaxation of the second-stage problem.
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Cited in
(28)- An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information
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- Erratum to: Convex approximations for complete integer recourse models
- scientific article; zbMATH DE number 1031417 (Why is no real title available?)
- Assessing the quality of convex approximations for two-stage totally unimodular integer recourse models
- Simplification of recourse models by modification of recourse data
- Robust optimization of sums of piecewise linear functions with application to inventory problems
- A Convex Approximation for Two-Stage Mixed-Integer Recourse Models with a Uniform Error Bound
- Convex approximations of two-stage risk-averse mixed-integer recourse models
- Integrated chance constraints: reduced forms and an algorithm
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