Convex approximations for a class of mixed-integer recourse models

DOI10.1007/s10479-009-0591-7zbMath1201.90143OpenAlexW2147911217MaRDI QIDQ1958624

Maarten H. van der Vlerk

Publication date: 4 October 2010

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-009-0591-7

zbMATH Keywords

convex approximationmixed-integer recourse

Mathematics Subject Classification ID

Mixed integer programming (90C11) Stochastic programming (90C15)

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Convex approximations for two-stage mixed-integer mean-risk recourse models with conditional value-at-risk ⋮ Sampling Scenario Set Partition Dual Bounds for Multistage Stochastic Programs ⋮ A loose Benders decomposition algorithm for approximating two-stage mixed-integer recourse models ⋮ The stochastic programming heritage of Maarten van der Vlerk ⋮ Distributionally robust simple integer recourse ⋮ A Convex Approximation for Two-Stage Mixed-Integer Recourse Models with a Uniform Error Bound ⋮ Simple integer recourse models: convexity and convex approximations ⋮ Monotonic bounds in multistage mixed-integer stochastic programming ⋮ Pseudo-Valid Cutting Planes for Two-Stage Mixed-Integer Stochastic Programs with Right-Hand-Side Uncertainty ⋮ Parametric error bounds for convex approximations of two-stage mixed-integer recourse models with a random second-stage cost vector

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