On the convex hull of the simple integer recourse objective function

W.K. Klein Haneveld, L. Stougie, M.H. van der Vlerk

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    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
    Original languageEnglish
    Pages (from-to)209-224
    JournalAnnals of Operations Research
    Publication statusPublished - 1995

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