Convex approximations for stochastic programs with simple integer recourse
نویسنده
چکیده
We review convex approximations for stochastic programs with simple integer recourse. Both for the case of discrete and continuous random variables such approximations are discussed, and representations as continuous simple recourse problems are given.
منابع مشابه
Stochastic Programming with Simple Integer Recourse
Stochastic integer programs are notoriously difficult. Very few properties are known and solution algorithms are very scarce. In this paper, we introduce the class of stochastic programs with simple integer recourse, a natural extension of the simple recourse case extensively studied in stochastic continuous programs. Analytical as well as computational properties of the expected recourse funct...
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