|
 
|
[BCP14] 2-Stage Robust MILP with continuous recourse variables
Revue Internationale avec comité de lecture : Journal Discrete applied mathematics, vol. 170(19), pp. 21-32, 2014, (doi:10.1016/j.dam.2014.01.017)Mots clés: Robust Optimisation robuste, Mathematical programming.
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 some generalizations of the approach: for left-hand side uncertainty and for uncertainty sets defined by a polytope. Finally we solve the problem when the “full recourse property†is not satisfied.
Equipe:
oc
BibTeX
| @article { | |||
| BCP14, | |||
| title | = | "{2-Stage Robust MILP with continuous recourse variables }", | |
| author | = | "A. Billionnet and M.-C. Costa and P. Poirion", | |
| journal | = | "Discrete applied mathematics", | |
| year | = | 2014, | |
| volume | = | 170, | |
| number | = | 19, | |
| pages | = | "21-32", | |
| doi | = | "10.1016/j.dam.2014.01.017", | |
| } | |||
