[BCP12a] 2-Stage Robust MILP with continuous recourse variables

Rapport Scientifique : Date de dépot: 2012/09/02, Nb pages 13, (Tech. Rep.: CEDRIC-12-2683)

Mots clés: Mixed integer linear programming, robust optimization

Résumé: 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.

Equipe: oc


@techreport {
title="{2-Stage Robust MILP with continuous recourse variables}",
author="A. Billionnet and M.-C. Costa and P. Poirion",
institution="{CEDRIC laboratory, CNAM-Paris, France}",