Convex Approximations for Totally Unimodular Integer Recourse Models: A Uniform Error Bound

DOI10.1137/130945703zbMath1358.90088OpenAlexW2138067268MaRDI QIDQ2954380

Maarten H. van der Vlerk, Ward Romeijnders, Willem K. Klein Haneveld

Publication date: 13 January 2017

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/9083

zbMATH Keywords

stochastic programminginteger recourseconvex approximation

Mathematics Subject Classification ID

Integer programming (90C10) Stochastic programming (90C15)

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Total variation bounds on the expectation of periodic functions with applications to recourse approximations ⋮ An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information ⋮ Erratum to: Convex approximations for complete integer recourse models ⋮ Convex approximations for two-stage mixed-integer mean-risk recourse models with conditional value-at-risk ⋮ A loose Benders decomposition algorithm for approximating two-stage mixed-integer recourse models ⋮ The stochastic programming heritage of Maarten van der Vlerk ⋮ Higher-order total variation bounds for expectations of periodic functions and simple integer recourse approximations ⋮ Distributionally robust simple integer recourse ⋮ A Convex Approximation for Two-Stage Mixed-Integer Recourse Models with a Uniform Error Bound ⋮ 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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