## 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

Original language | English |
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Pages (from-to) | 209-224 |

Journal | Annals of Operations Research |

Volume | 56 |

DOIs | |

Publication status | Published - 1995 |