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.
https://hal-ensta-paris.archives-ouvertes.fr//hal-00968777
Contributor : Aurélien Arnoux
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Submitted on : Monday, December 14, 2015 - 8:57:14 AM
Last modification on : Friday, January 31, 2020 - 9:26:03 AM
Long-term archiving on: Tuesday, March 15, 2016 - 11:22:00 AM
