An inexact column-and-constraint generation method to solve two-stage robust optimization problems

DOI10.1016/J.ORL.2022.12.002zbMath1525.90311arXiv2207.03291OpenAlexW4311141807MaRDI QIDQ6161289

Man Yiu Tsang, Karmel S. Shehadeh, Frank E. Curtis

Publication date: 27 June 2023

Published in: Operations Research Letters (Search for Journal in Brave)

Abstract: We propose a new inexact column-and-constraint generation (i-C&CG) method to solve two-stage robust optimization problems. The method allows solutions to the master problems to be inexact, which is desirable when solving large-scale and/or challenging problems. It is equipped with a backtracking routine that controls the trade-off between bound improvement and inexactness. Importantly, this routine allows us to derive theoretical finite convergence guarantees for our i-C&CG method. Numerical experiments demonstrate computational advantages of our i-C&CG method over state-of-the-art column-and-constraint generation methods.

Full work available at URL: https://arxiv.org/abs/2207.03291

zbMATH Keywords

decomposition algorithmsrobust optimizationtwo-stage stochastic optimizationcolumn-and-constraint generation

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Stochastic programming (90C15) Robustness in mathematical programming (90C17)

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