Convex approximations for complete integer recourse models

DOI10.1007/s10107-003-0434-2zbMath1068.90086OpenAlexW2128369242MaRDI QIDQ1434075

Maarten H. van der Vlerk

Publication date: 1 July 2004

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/8926

zbMATH Keywords

stochastic programminginteger recourseconvex approximation

Mathematics Subject Classification ID

Integer programming (90C10) Stochastic programming (90C15) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)

Related Items

Total variation bounds on the expectation of periodic functions with applications to recourse approximations, An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information, Integrated chance constraints: reduced forms and an algorithm, Erratum to: Convex approximations for complete integer recourse models, Convex approximations for two-stage mixed-integer mean-risk recourse models with conditional value-at-risk, On multiple simple recourse models, Totally unimodular stochastic programs, Recent Progress in Two-stage Mixed-integer Stochastic Programming with Applications to Power Production Planning, Integer set reduction for stochastic mixed-integer programming, An ALM model for pension funds using integrated chance constraints, Convex approximations for a class of mixed-integer recourse models, A loose Benders decomposition algorithm for approximating two-stage mixed-integer recourse models, The stochastic programming heritage of Maarten van der Vlerk, Higher-order total variation bounds for expectations of periodic functions and simple integer recourse approximations, 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, Exact solutions to a class of stochastic generalized assignment problems, Simple integer recourse models: convexity and convex approximations, On solving discrete two-stage stochastic programs having mixed-integer first- and second-stage variables, Pseudo-Valid Cutting Planes for Two-Stage Mixed-Integer Stochastic Programs with Right-Hand-Side Uncertainty, Parametric error bounds for convex approximations of two-stage mixed-integer recourse models with a random second-stage cost vector, A binary decision diagram based algorithm for solving a class of binary two-stage stochastic programs

Cites Work

• The integer \(L\)-shaped method for stochastic integer programs with complete recourse
• Stochastic integer programming: general models and algorithms
• Stochastic programming with simple integer recourse
• A finite branch-and-bound algorithm for two-stage stochastic integer programs
• On the convex hull of the simple integer recourse objective function
• Simple integer recourse models: convexity and convex approximations
• On Optimal Allocation of Indivisibles Under Uncertainty
• Continuity Properties of Expectation Functions in Stochastic Integer Programming
• Introduction to Stochastic Programming
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item