Convex Approximations for Totally Unimodular Integer Recourse Models
SIAM Journal on Optimization(2015)
摘要
We consider a class of convex approximations for totally unimodular (TU) integer recourse models and derive a
uniform error bound by
exploiting properties of the total variation of the probability density functions involved. For simple integer
recourse models this
error bound is tight and improves the existing one by a factor 2, whereas for TU integer recourse models this is
the first nontrivial
error bound available. The bound ensures that the performance of the approximations is good as long as the total
variations of the
densities of all random variables in the model are small enough.
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关键词
stochastic programming,integer recourse,convex approximation,90C15,90C10
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