2-Stage Robust MILP with continuous recourse variables
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.
Domaines
Recherche opérationnelle [math.OC]
Origine : Fichiers produits par l'(les) auteur(s)
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