Convex approximations for a class of mixed-integer recourse models

M.H. van der Vlerk

doi:10.1007/s10479-009-0591-7

Convex approximations for a class of mixed-integer recourse models

M.H. van der Vlerk

Operations Management & Operations Research

Research output: Contribution to journal › Article › Academic › peer-review

17 Citations (Scopus)

227 Downloads (Pure)

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.

Original language	English
Pages (from-to)	139-150
Number of pages	12
Journal	Annals of Operations Research
Volume	177
Issue number	1
DOIs	https://doi.org/10.1007/s10479-009-0591-7
Publication status	Published - Jun-2010

Keywords

Mixed-integer recourse
Convex approximation
STOCHASTIC PROGRAMS
BRANCH
RISK

Access to Document

10.1007/s10479-009-0591-7Licence: Unspecified

Convex approximations for a class of mixed-integer recourse modelsFinal publisher's version, 374 KBLicence: Unspecified

Handle.net

Persistent link

Cite this

@article{6fb5ec819eef4e6c9a99802da73ec0de,

title = "Convex approximations for a class of mixed-integer recourse models",

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.",

keywords = "Mixed-integer recourse, Convex approximation, STOCHASTIC PROGRAMS, BRANCH, RISK",

author = "{van der Vlerk}, M.H.",

year = "2010",

month = jun,

doi = "10.1007/s10479-009-0591-7",

language = "English",

volume = "177",

pages = "139--150",

journal = "Annals of Operations Research",

publisher = "Springer",

number = "1",

}

TY - JOUR

T1 - Convex approximations for a class of mixed-integer recourse models

AU - van der Vlerk, M.H.

PY - 2010/6

Y1 - 2010/6

N2 - 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.

AB - 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.

KW - Mixed-integer recourse

KW - Convex approximation

KW - STOCHASTIC PROGRAMS

KW - BRANCH

KW - RISK

U2 - 10.1007/s10479-009-0591-7

DO - 10.1007/s10479-009-0591-7

M3 - Article

VL - 177

SP - 139

EP - 150

JO - Annals of Operations Research

JF - Annals of Operations Research

IS - 1

ER -

Convex approximations for a class of mixed-integer recourse models

Abstract

Keywords

Access to Document

Handle.net

Fingerprint

Cite this