Convex approximations for simple integer recourse models by perturbing the underlying distributions

@inproceedings{Haneveld1997ConvexAF,
  title={Convex approximations for simple integer recourse models by perturbing the underlying distributions},
  author={Willem K. Klein Haneveld and Leen Stougie and Maarten H. van der Vlerk},
  year={1997}
}
We present a class of convex approximations of the expected value function of a simple recourse problem with fixed technology matrix and integer second-stage variables. These approximations are obtained by perturbing the distributions of the right-hand side parameters. The resulting distributions are special instances of the class of distributions that yield convex expected value functions. A complete characterization of this class was given in a previous paper. We derive a uniform bound on the… CONTINUE READING

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