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Solving Two-stage Robust Optimization Problems by A Constraint-and-Column Generation Method

Bo Zeng (bzeng***at***usf.edu)

Abstract: 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.

Keywords: two-stage robust optimization, cutting plane algorithm, location-and-transportation problem

Category 1: Robust Optimization


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Entry Submitted: 06/15/2011
Entry Accepted: 06/17/2011
Entry Last Modified: 06/17/2011

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