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On the convex hull of the simple integer recourse objective function

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Abstract

We consider the objective function of a simple integer recourse problem with fixed technology matrix.

Using properties of the expected value function, we prove a relation between the convex hull of this function and the expected value function of a continuous simple recourse program.

We present an algorithm to compute the convex hull of the expected value function in case of discrete right-hand side random variables. Allowing for restrictions on the first stage decision variables, this result is then extended to the convex hull of the objective function.

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References

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Authors and Affiliations

  1. Rijksuniversiteit Groningen, Groningen, The Netherlands

    Willem K. Klein Haneveld & Maarten H. van der Vlerk

  2. Universiteit van Amsterdam, Amsterdam, The Netherlands

    Leen Stougie

Authors
  1. Willem K. Klein Haneveld
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  2. Leen Stougie
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  3. Maarten H. van der Vlerk
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Additional information

Supported by the National Operations Research Network in the Netherlands (LNMB).

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Klein Haneveld, W.K., Stougie, L. & van der Vlerk, M.H. On the convex hull of the simple integer recourse objective function. Ann Oper Res 56, 209–224 (1995). https://doi.org/10.1007/BF02031708

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  • DOI: https://doi.org/10.1007/BF02031708

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