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[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:
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BibTeX
| @techreport { | |||
| BCP12a, | |||
| title | = | "{2-Stage Robust MILP with continuous recourse variables}", | |
| author | = | "A. Billionnet and M.-C. Costa and P. Poirion", | |
| number | = | "{CEDRIC-12-2683}", | |
| institution | = | "{CEDRIC laboratory, CNAM-Paris, France}", | |
| date | = | {02-09-2012}, | |
| pages | = | "13", | |
| } | |||
