Solving two-stage robust optimization problems using a column-and-constraint generation method

In this paper, we present a column-and-constraint generation algorithm to solve two-stage robust optimization problems. Compared with existing Benders-style cutting plane methods, the column-and-constraint generation algorithm is a general procedure with a unified approach to deal with optimality an...

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Veröffentlicht in:	Operations research letters 2013-09, Vol.41 (5), p.457-461
Hauptverfasser:	Zeng, Bo, Zhao, Long
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Computation Cutting Cutting plane algorithm Feasibility Location-and-transportation Operations research Optimization Planes Two-stage robust optimization
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creator	Zeng, Bo Zhao, Long
description	In this paper, we present a column-and-constraint generation algorithm to solve two-stage robust optimization problems. Compared with existing Benders-style cutting plane methods, the column-and-constraint generation algorithm is a general procedure with a unified approach to deal with optimality and feasibility. A computational study on a two-stage robust location-transportation problem shows that it performs an order of magnitude faster.
doi_str_mv	10.1016/j.orl.2013.05.003
format	Article
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source	ScienceDirect Journals (5 years ago - present)
subjects	Algorithms Computation Cutting Cutting plane algorithm Feasibility Location-and-transportation Operations research Optimization Planes Two-stage robust optimization
title	Solving two-stage robust optimization problems using a column-and-constraint generation method
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