Adaptive robust optimization with objective uncertainty
DETIENNE, Boris
Reformulations based algorithms for Combinatorial Optimization [Realopt]
Institut de Mathématiques de Bordeaux [IMB]
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]
Department of electrical, electronic and information engineering "GUGLIELMO MARCONI" [Bologna] [DEI]
MALAGUTI, Enrico
Department of electrical, electronic and information engineering "GUGLIELMO MARCONI" [Bologna] [DEI]
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Department of electrical, electronic and information engineering "GUGLIELMO MARCONI" [Bologna] [DEI]
DETIENNE, Boris
Reformulations based algorithms for Combinatorial Optimization [Realopt]
Institut de Mathématiques de Bordeaux [IMB]
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]
Department of electrical, electronic and information engineering "GUGLIELMO MARCONI" [Bologna] [DEI]
MALAGUTI, Enrico
Department of electrical, electronic and information engineering "GUGLIELMO MARCONI" [Bologna] [DEI]
Department of electrical, electronic and information engineering "GUGLIELMO MARCONI" [Bologna] [DEI]
MONACI, Michele
Department of electrical, electronic and information engineering "GUGLIELMO MARCONI" [Bologna] [DEI]
< Reduce
Department of electrical, electronic and information engineering "GUGLIELMO MARCONI" [Bologna] [DEI]
Language
en
Document de travail - Pré-publication
English Abstract
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 ...Read more >
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.Read less <
English Keywords
Branch-and-bound
Two-stage robust optimization
Reformulation
Fenchel duality
Column generation
Computational experiments
Origin
Hal imported