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.
Document type :
Journal articles
Complete list of metadatas

Cited literature [13 references]  Display  Hide  Download

https://hal-ensta-paris.archives-ouvertes.fr//hal-00968777
Contributor : Aurélien Arnoux <>
Submitted on : Monday, December 14, 2015 - 8:57:14 AM
Last modification on : Wednesday, July 3, 2019 - 10:48:04 AM
Long-term archiving on: Tuesday, March 15, 2016 - 11:22:00 AM

File

ArtGenDAM24sept2013.pdf
Files produced by the author(s)

Identifiers

Collections

Citation

Alain Billionnet, Marie-Christine Costa, Pierre-Louis Poirion. 2-Stage Robust MILP with continuous recourse variables. Discrete Applied Mathematics, Elsevier, 2014, 170, pp.21-32. ⟨10.1016/j.dam.2014.01.017⟩. ⟨hal-00968777⟩

Share

Metrics

Record views

378

Files downloads

177