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2-Stage Robust MILP with continuous recourse variables

Alain Billionnet(alain.billionnet***at***ensiie.fr)
Marie-Christine Costa(marie-christine.costa***at***ensta-paristech.fr)
Pierre-Louis Poirion(pierre-louis.poirion***at***ensta-paristech.fr)

Abstract: We solve a linear robust problem with mixed-integer first-stage variables and continuous second stage variables. We consider column wise uncertainty. We first focus on a problem with right hand-side uncertainty which satisfies a "full recourse property" and a specific definition of the uncertainty. We propose a solution based on a generation constraint algorithm. Then we give several generalizations of the approach: for left-hand side uncertainty, for the cases where the "full recourse property" is not satisfied and for uncertainty sets defined by a polytope.

Keywords: Robust optimization, integer programming

Category 1: Combinatorial Optimization

Citation: 2013

Download: [PDF]

Entry Submitted: 04/03/2013
Entry Accepted: 04/04/2013
Entry Last Modified: 04/03/2013

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