Convex approximations for complete integer recourse models |
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Authors: | Maarten H van der Vlerk |
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Institution: | (1) Department of Econometrics & OR, University of Groningen, 800, 9700 AV Groningen, The Netherlands |
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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.This research has been made possible by a fellowship of the Royal Netherlands Academy of Arts and Sciences.Key words.integer recourse – convex approximationMathematics Subject Classification (1991):90C15, 90C11 |
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