We consider convex approximations of the expected value function of a two-stage integer recourse problem. The convex approximations are obtained by perturbing the distribution of the random right-hand side vector. It is shown that the approximation is optimal for the class of problems with...

We consider the objective function of a simple recourse problem with fixed technology matrix and integer second-stage variables. Separability due to the simple recourse structure allows to study a one-dimensional version instead. Based on an explicit formula for the objective function, we derive...

We discuss integrated chance constraints in their role of short-term risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multistage recourse model, with special attention for modeling the guidelines proposed by the regulating authority for Dutch pension...

We consider multiple simple recourse (MSR) models, both continuous and integer versions, which generalize the corresponding simple recourse (SR) models by allowing for a refined penalty cost structure for individual shortages and surpluses. It will be shown that (convex approximations of) such...

Approximation algorithms are the prevalent solution methods in the field of stochastic programming. Problems in this field are very hard to solve. Indeed, most of the research in this field has concentrated on designing solution methods that approximate the optimal solutions. However, efficiency...

We consider integrated chance constraints (ICC), which provide quantitative alternatives for traditional chance constraints.We derive explicit polyhedral descriptions for the convex feasible sets induced by ICCs, for the case that the underlying distribution is discrete. Based on these reduced...

A pension fund has to match the portfolio of long-term liabilities with the portfolio of assets. Key instruments in strategic Asset Liability Management (ALM) are the adjustments of the contribution rate of the sponsor and the reallocation of the investments in several asset classes at various...

We consider mixed-integer recourse (MIR) models with a single recourse constraint.We relate the secondstage 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...

A multistage mixed-integer stochastic programming model is formulated for an Asset Liability Management problem for pension funds. Since these models are too difficult to solve for realistically sized problems, a heuristic is described. Numerical results for several instances of a prototype...

We consider modification of the recourse data, consisting of the second-stage parameters and the underlying distribution, as an approximation technique for solving two-stage recourse problems. This approach is applied to several specific classes of recourse problems; in each case, the resulting...