Convex approximations for complete integer recourse models (Q1434075)

The author considers the two-stage integer recourse problem. Convex approximations of the expected value function are constructed. This gives an optimal solution for the class of problems with totally unimodular recourse matrix. For the general case the constructed convex approximation is a lower bound for the expected value function. It is proven that the proposed convex approximation is strictly better than the one obtained using the LP relaxation of the second-stage problem.