Solving Two-stage Robust Optimization Problems by A Constraint-and-Column Generation Method
نویسنده
چکیده
We present a constraint-and-column generation algorithm to solve two-stage robust optimization problems. Compared with existing Benders style cutting plane methods, it 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. Also, it reveals a linkage between two-stage robust optimization and stochastic programming, which may benefits our understanding on both of them.
منابع مشابه
Solving two-stage robust optimization problems using a column-and-constraint generation method
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