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

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

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arXiv · 2207.03291

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

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

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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.

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BibTeX RIS

Man Yiu Tsang, Karmel S. Shehadeh, Frank E. Curtis. 2022-07-07. An inexact column-and-constraint generation method to solve two-stage robust optimization problems. https://arxiv.org/abs/2207.03291

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