Approximate cutting plane approaches for exact solutions to robust optimization problems

Julius Pätzold and Anita Schöbel

European Journal of Operational Research, 2020, vol. 284, issue 1, 20-30

Abstract: In this paper we deal with cutting plane approaches for robust optimization. Such approaches work iteratively by solving a robust problem with reduced uncertainty set (robustification step) and determining a worst-case scenario in each iteration (pessimization step) which is then added to the reduced uncertainty set. We propose to enhance this scheme by solving the robustification and/or the pessimization step not exactly, but only approximately, that is, until an improvement to the current solution is possible. The resulting iterative approach is called approximate cutting plane approach.

Keywords: Robustness and sensitivity analysis; Robust optimization; Mixed integer programming; Cutting-plane methods (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:284:y:2020:i:1:p:20-30

DOI: 10.1016/j.ejor.2019.11.059

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