| Article ID: | iaor20104499 |
| Volume: | 177 |
| Issue: | 1 |
| Start Page Number: | 139 |
| End Page Number: | 150 |
| Publication Date: | Jun 2010 |
| Journal: | Annals of Operations Research |
| Authors: | Vlerk Maarten H |
| Keywords: | programming: probabilistic |
We consider mixed-integer recourse (MIR) models with a single recourse constraint. We relate the second-stage value function of such problems to the expected simple integer recourse (SIR) shortage function. This allows to construct convex approximations for MIR problems by the same approach used for SIR models.