Convex approximations for a class of mixed-integer recourse models |
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Authors: | Maarten H Van der Vlerk |
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Institution: | (3) Univ. Groningen, Groningen, The Netherlands |
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Abstract: | 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. |
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Keywords: | |
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