Mixed-integer value functions in stochastic programming

Authors:
Rüdiger Schultz
Affiliations:
Institute of Mathematics, Gerhard-Mercator University Duisburg, Lotharst. 65, D-47048 Duisburg, Germany
Venue:
Combinatorial optimization - Eureka, you shrink!
Year:
2003

Citing 6
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Abstract

We discuss the role of mixed-integer value functions in the theoretical analysis of stochastic integer programs. It is shown how the interaction of value function properties with basic results from probability theory leads to structural statements in stochastic integer programming.