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

Autor:	Tsang, Man Yiu, Shehadeh, Karmel S., Curtis, Frank E.
Rok vydání:	2022
Předmět:	Mathematics - Optimization and Control
Druh dokumentu:	Working Paper
Popis:	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.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2207.03291 Zobrazit plný text záznamu View this record from Arxiv