Convex approximations for a class of mixed-integer recourse models

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. Key words: mixed-integer recourse, convex approximation Mathematics Subject Classification: 90C15, 90C11

• Type: Journal
• Year: 2010
• Where: ANOR
• Authors: Maarten H. van der Vlerk
• Keywords: ANOR 2010, Convex Approximation, Mixed-integer Recourse, Single Recourse Constraint