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

被引：1449

作者：

Zeng, Bo ^{[1
]}

Zhao, Long ^{[1
]}

机构：

[1] Univ S Florida, Dept Ind & Management Syst Engn, Tampa, FL 33620 USA

来源：

OPERATIONS RESEARCH LETTERS | 2013年 / 41卷 / 05期

关键词：

Two-stage robust optimization; Cutting plane algorithm; Location-and-transportation;

D O I：

10.1016/j.orl.2013.05.003

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

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.

引用

页码：457 / 461

页数：5

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