On the convex hull of the simple integer recourse objective function

  • Klein Haneveld W
  • Stougie L
  • van der Vlerk M
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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. [ABSTRACT FROM AUTHOR]

Author-supplied keywords

  • Simple integer recourse
  • convex hull

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Authors

  • Willem K. Klein Haneveld

  • Leen Stougie

  • Maarten H. van der Vlerk

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