On the convex hull of the simple integer recourse objective function

The authors consider the objective function of a simple integer recourse problem with fixed technology matrix. Using properties of the expected value function, they prove a relation between the convex hull of this function and the expected value function of a continuous simple recourse program. The authors 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.