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

作     者：Zeng, Bo Zhao, Long 

作者机构：Univ S Florida Dept Ind & Management Syst Engn Tampa FL 33620 USA 

出 版 物：《OPERATIONS RESEARCH LETTERS》 (运筹学快报)

年 卷 期：2013年第41卷第5期

页      面：457-461页

核心收录：

学科分类：1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070104[理学-应用数学] 0701[理学-数学] 

主　　题：Two-stage robust optimization Cutting plane algorithm Location-and-transportation 

摘      要：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. (c) 2013 Elsevier B.V. All rights reserved.