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Kaiwen Fang

Publications and source records attributed to Kaiwen Fang.

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Disjunctive Benders Decomposition

We propose an enhancement to Benders decomposition (BD) that generates valid inequalities for the convex hull of the Benders reformulation, addressing the limitation that classical BD cuts are typically tight only for the continuous relaxation. Our method integrates disjunctive programming with BD and introduces a routine that leverages existing cut-generating oracles as-is to construct convex hull inequalities. For mixed-binary linear programs, the approach removes the need to solve the master problem as a mixed-integer program, even with separable subproblems. It builds on a unified normalization framework for cut-generating programs, encompassing norm-based, reverse polar, and right-hand-side normalization, and enabling the design of new normalization schemes with streamlined analysis of supporting cuts. Computational results on large-scale instances show substantial reductions in branch-and-bound nodes often by orders of magnitude, while consistently outperforming commercial solvers on selected problem classes.

math.OC

Two-Stage Distributionally Robust Conic Linear Programming over 1-Wasserstein Balls

This paper studies two-stage distributionally robust conic linear programming under constraint uncertainty over type-1 Wasserstein balls. We present optimality conditions for the dual of the worst-case expectation problem, which characterizes worst-case uncertain parameters for its inner maximization problem. This condition offers an alternative proof, a counter-example, and an extension to previous works. Additionally, the condition highlights the potential advantage of a specific distance metric for out-of-sample performance, as exemplified in a numerical study on a facility location problem with demand uncertainty. A cutting-plane-based algorithm and a variety of algorithmic enhancements are proposed with a finite convergence proof under less stringent assumptions.

math.OC