DETIENNE, Boris; LEFEBVRE, Henri; MALAGUTI, Enrico; MONACI, Michele

Métadonnées

Licence d’utilisation du document

DETIENNE, Boris
Reformulations based algorithms for Combinatorial Optimization [Realopt]
Institut de Mathématiques de Bordeaux [IMB]

LEFEBVRE, Henri
Department of electrical, electronic and information engineering "GUGLIELMO MARCONI" [Bologna] [DEI]

MALAGUTI, Enrico
Department of electrical, electronic and information engineering "GUGLIELMO MARCONI" [Bologna] [DEI]

Langue

Document de travail - Pré-publication

Résumé en anglais

In this work, we study optimization problems where some cost parameters are not known at decision time and the decision flow is modeled as a two-stage process within a robust optimization setting. We address general problems in which all constraints (including those linking the first and the second stages) are defined by convex functions and involve mixed-integer variables, thus extending the existing literature to a much wider class of problems. We show how these problems can be reformulated using Fenchel duality, allowing to derive an enumerative exact algorithm, for which we prove-convergence in a finite number of operations. An implementation of the resulting algorithm, embedding a column generation scheme, is then computationally evaluated on two different problems, using instances that are derived starting from the existing literature. To the best of our knowledge, this is the first approach providing results on the practical solution of this class of problems.< Réduire

Mots clés en anglais

Branch-and-bound

Two-stage robust optimization

Reformulation

Fenchel duality

Column generation

Computational experiments

Métadonnées

Partager cette publication !

Licence d’utilisation du document

Adaptive robust optimization with objective uncertainty

Langue

Résumé en anglais

Mots clés en anglais

URI

Origine

Unités de recherche