Stochastic Mixed-Integer Programming

In this chapter we consider a generalization of the recourse model in Chap. 3, obtained by allowing integrality restrictions on some or all of the decision variables. First we give some motivation why such mixed-integer recourse models are useful and interesting. Following the presentation of the general model, we give several examples of applications. Next we discuss mathematical properties of the general model as well as the so-called simple integer recourse model, which is the analogue of the continuous simple recourse model discussed in Sect. 3.3.2. We conclude this chapter with an overview of available algorithms.

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