DOI: 10.33612/diss.198086429
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Approximate and exact convexification approaches for solving two-stage mixed-integer recourse models

Abstract: which is obtained from (1.1) by replacing E ω [v(ω, x)] by Q(x). The advantage is that (1.2) features a convex objective function, and thus it is easier to solve compared to the original model (1.1). Of course, without further restrictions on Q, we do not expect to obtain good solutions for (1.1) by solving the approximating every first-stage decision x, the second-stage costs v(ω, x) are finite with probability 1. To motivate this, note that if v(ω, x) = +∞ with positive probability, then the decision x may r… Show more

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