Two-stage robust mixed integer programming problem with objective uncertainty

Many real problems with uncertain parameters can be modeled as two-stage robust mixed integer programming problems (RMIPs). Due to the complex nature of this kind of problems, this paper focuses on the two-stage RMIPs with objective uncertainty. Based on the results that the augmented Lagrangian is...

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Vydáno v:Optimization letters Ročník 12; číslo 5; s. 959 - 969
Hlavní autor: Zhang, Ning
Médium: Journal Article
Jazyk:angličtina
Vydáno: Berlin/Heidelberg Springer Berlin Heidelberg 01.07.2018
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ISSN:1862-4472, 1862-4480
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Abstract Many real problems with uncertain parameters can be modeled as two-stage robust mixed integer programming problems (RMIPs). Due to the complex nature of this kind of problems, this paper focuses on the two-stage RMIPs with objective uncertainty. Based on the results that the augmented Lagrangian is a strong dual for integer programming Boland and Eberhard (Math Program 150(2):491–509, 2015 ), we present the upper and lower bounds. In a special case, we show that the two-stage RMIPs can be equivalently reformulated as a solvable minimax problem.
AbstractList Many real problems with uncertain parameters can be modeled as two-stage robust mixed integer programming problems (RMIPs). Due to the complex nature of this kind of problems, this paper focuses on the two-stage RMIPs with objective uncertainty. Based on the results that the augmented Lagrangian is a strong dual for integer programming Boland and Eberhard (Math Program 150(2):491–509, 2015 ), we present the upper and lower bounds. In a special case, we show that the two-stage RMIPs can be equivalently reformulated as a solvable minimax problem.
Author Zhang, Ning
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  organization: Department of Mathematics, National University of Singapore, Future Resilient Systems, Singapore ETH Centre
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Keywords Mixed integer programming
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Snippet Many real problems with uncertain parameters can be modeled as two-stage robust mixed integer programming problems (RMIPs). Due to the complex nature of this...
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Mathematics and Statistics
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Optimization
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Title Two-stage robust mixed integer programming problem with objective uncertainty
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