Decomposition-Based Approaches for a Class of Two-Stage Robust Binary Optimization Problems

Published Online:https://doi.org/10.1287/ijoc.2021.1061

References

  • Atamtürk A, Zhang M (2007) Two-stage robust network flow and design under demand uncertainty. Oper. Res. 55(4):662–673.LinkGoogle Scholar
  • Ayoub J, Poss M (2016) Decomposition for adjustable robust linear optimization subject to uncertainty polytope. Comput. Management Sci. 13(2):219–239.CrossrefGoogle Scholar
  • Ben-Tal A, El Ghaoui L, Nemirovski A (2009) Robust Optimization, Princeton Series in Applied Mathematics, vol. 28. (Princeton University Press, Princeton, NJ).CrossrefGoogle Scholar
  • Ben-Tal A, Goryashko A, Guslitzer E, Nemirovski A (2004) Adjustable robust solutions of uncertain linear programs. Math. Programming 99(2):351–376.CrossrefGoogle Scholar
  • Bertsimas D, Caramanis C (2010) Finite adaptability in multistage linear optimization. IEEE Trans. Automatic Control 55(12):2751–2766.CrossrefGoogle Scholar
  • Bertsimas D, Dunning I (2016) Multistage robust mixed-integer optimization with adaptive partitions. Oper. Res. 64(4):980–998.LinkGoogle Scholar
  • Bertsimas D, Georghiou A (2015) Design of near optimal decision rules in multistage adaptive mixed-integer optimization. Oper. Res. 63(3):610–627.LinkGoogle Scholar
  • Bertsimas D, Georghiou A (2018) Binary decision rules for multistage adaptive mixed-integer optimization. Math. Programming 167(2):395–433.CrossrefGoogle Scholar
  • Bertsimas D, Brown DB, Caramanis C (2011) Theory and applications of robust optimization. SIAM Rev. 53(3):464–501.CrossrefGoogle Scholar
  • Bertsimas D, Litvinov E, Sun XA, Zhao J, Zheng T (2013) Adaptive robust optimization for the security constrained unit commitment problem. IEEE Trans. Power Systems 28(1):52–63.CrossrefGoogle Scholar
  • Buchheim C, Kurtz J (2017) Min–max–min robust combinatorial optimization. Math. Programming 163(1-2):1–23.CrossrefGoogle Scholar
  • Chassein A, Goerigk M, Kurtz J, Poss M (2019) Faster algorithms for min-max-min robustness for combinatorial problems with budgeted uncertainty. Eur. J. Oper. Res. 279(2):308–319.CrossrefGoogle Scholar
  • Chen X, Zhang Y (2009) Uncertain linear programs: Extended affinely adjustable robust counterparts. Oper. Res. 57(6):1469–1482.LinkGoogle Scholar
  • Chen X, Sim M, Sun P, Zhang J (2008) A linear decision-based approximation approach to stochastic programming. Oper. Res. 56(2):344–357.LinkGoogle Scholar
  • Gabrel V, Murat C, Thiele A (2014) Recent advances in robust optimization: An overview. Eur. J. Oper. Res. 235(3):471–483.CrossrefGoogle Scholar
  • Georghiou A, Wiesemann W, Kuhn D (2015) Generalized decision rule approximations for stochastic programming via liftings. Math. Programming 152(1-2):301–338.CrossrefGoogle Scholar
  • Goh J, Sim M (2010) Distributionally robust optimization and its tractable approximations. Oper. Res. 58(4-part-1):902–917.LinkGoogle Scholar
  • Gorissen BL, Yanıkoğlu İ, den Hertog D (2015) A practical guide to robust optimization. Omega 53:124–137.CrossrefGoogle Scholar
  • Hanasusanto GA, Kuhn D, Wiesemann W (2015) K-adaptability in two-stage robust binary programming. Oper. Res. 63(4):877–891.LinkGoogle Scholar
  • Hooker JN (1994) Logic-based methods for optimization. Borning A, ed., Principles and Practice of Constraint Programming, Lecture Notes in Computer Science, vol. 874 (Springer, Berlin), 336–349.CrossrefGoogle Scholar
  • Jiang R, Zhang M, Li G, Guan Y (2014) Two-stage network constrained robust unit commitment problem. Eur. J. Oper. Res. 234(3):751–762.CrossrefGoogle Scholar
  • Kämmerling N, Kurtz J (2020) Oracle-based algorithms for binary two-stage robust optimization. Preprint, submitted January 16, https://arxiv.org/abs/1905.05257.Google Scholar
  • Kuhn D, Wiesemann W, Georghiou A (2011) Primal and dual linear decision rules in stochastic and robust optimization. Math. Programming 130(1):177–209.CrossrefGoogle Scholar
  • Pessoa A, Sadykov R, Uchoa E, Vanderbeck F (2018) Automation and combination of linear-programming based stabilization techniques in column generation. INFORMS J. Comput. 30(2):339–360.LinkGoogle Scholar
  • Pisinger D (2005) Where are the hard knapsack problems? Comput. Oper. Res. 32(9):2271–2284.CrossrefGoogle Scholar
  • Postek K, Hertog Dd (2016) Multistage adjustable robust mixed-integer optimization via iterative splitting of the uncertainty set. INFORMS J. Comput. 28(3):553–574.LinkGoogle Scholar
  • Sadykov R, Vanderbeck F, Pessoa A, Tahiri I, Uchoa E (2019) Primal heuristics for branch and price: The assets of diving methods. INFORMS J. Comput. 31(2):251–267.LinkGoogle Scholar
  • Subramanyam A, Gounaris CE, Wiesemann W (2020) K-adaptability in two-stage mixed-integer robust optimization. Math. Programming Comput. (Springer), 12(2):193–224. CrossrefGoogle Scholar
  • Thiele A, Terry T, Epelman M (2009) Robust linear optimization with recourse. Rapport Technique 4–37.Google Scholar
  • Vayanos P, Kuhn D, Rustem B (2011) Decision rules for information discovery in multi-stage stochastic programming. Proc. 2011 50th IEEE Conf. Decision Control Eur. Control Conf. (CDC-ECC) (IEEE, Piscataway, NJ), 7368–7373.Google Scholar
  • Zhao L, Zeng B (2012a) An exact algorithm for two-stage robust optimization with mixed integer recourse problems. Preprint, submitted January 10, http://www.optimization-online.org/DB_HTML/2012/01/3310.html.Google Scholar
  • Zhao L, Zeng B (2012b) Robust unit commitment problem with demand response and wind energy. 2012 IEEE Power Energy Soc. General Meeting (IEEE, Piscataway, NJ), 1–8.Google Scholar
  • Zhao C, Wang J, Watson JP, Guan Y (2013) Multi-stage robust unit commitment considering wind and demand response uncertainties. IEEE Trans. Power Systems 28(3):2708–2717.CrossrefGoogle Scholar
  • Zhen J, Den Hertog D, Sim M (2018) Adjustable robust optimization via Fourier–Motzkin elimination. Oper. Res. 66(4):1086–1100.LinkGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.