We solve a linear robust problem with mixed-integer first-stage variables and continuous second stage variables. We consider column wise uncertainty. We first focus on a problem with right hand-side uncertainty which satisfies a "full recourse property" and a specific definition of the uncertainty. We propose a solution based on a generation constraint algorithm. Then we give several generaliza...

A moral hazard problem develops when a factor cannot contract upon a seller’s ex-post level of credit management. Because of the deleterious price impact of the moral hazard problem, sellers with a sufficiently high bankruptcy risk may be unable to factor their entire accounts receivable pool, even though they offer recourse. The structure of the equilibrium factoring contract is empirically te...

In this paper, we consider a new formulation with recourse for a class of stochastic nonlinear complementarity problems. We show that the new formulation is equivalent to a smooth semi-infinite program that no longer contains recourse variables. We then propose a combined Monte Carlo sampling and penalty method for solving the problem in which the underlying sample space is assumed to be compac...

The capacitated vehicle routing problem with stochastic demands can be modelled using either the chance-constrained approach or the recourse approach. In previous works, we extended the former approach to address the case where uncertainty on customer demands is represented by belief functions, that is where customers have so-called evidential demands. In this paper, we propose an extension of ...

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 c...

We consider risk-averse formulations of multistage stochastic linear programs. For these formulations, based on convex combinations of spectral risk measures, risk-averse dynamic programming equations can be written. As a result, the Stochastic Dual Dynamic Programming (SDDP) algorithm can be used to obtain approximations of the corresponding risk-averse recourse functions. This allows us to de...

This paper investigates the current turbulent state of copyright in the digital age, and explores the viability of alternative compensation systems. The paper critically appraises the increased recourse to digital rights management (DRM) technologies, which are designed to restrict access to and usage of digital content. Considerable technical challenges associated with DRM systems have necessi...

We consider a convex approximation for integer recourse models. In particular, we show that the claim of Van der Vlerk [83] that this approximation yields the convex hull of totally unimodular (TU) integer recourse models is incorrect. We discuss counterexamples, indicate which step of its proof does not hold in general, and identify a class of random variables for which the claim in Van der Vl...

In this paper we study stability of optimal solutions of stochastic programming problems with fixed recourse. An upper bound for the rate of convergence is given in terms of the objective functions of the associated deterministic problems. As an example it is shown how it can be applied to derivation of the Law of Iterated Logarithm for the optimal solutions. It is also shown that in the case o...