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2-Stage Robust MILP with continuous recourse variables

Abstract : 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.
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Submitted on : Monday, December 14, 2015 - 8:57:14 AM
Last modification on : Wednesday, September 28, 2022 - 5:57:40 AM
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Alain Billionnet, Marie-Christine Costa, Pierre-Louis Poirion. 2-Stage Robust MILP with continuous recourse variables. Discrete Applied Mathematics, 2014, 170, pp.21-32. ⟨10.1016/j.dam.2014.01.017⟩. ⟨hal-00968777⟩



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