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Approximate cutting plane approaches for exact solutions to robust optimization problems

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  • Pätzold, Julius
  • Schöbel, Anita

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.

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  • Pätzold, Julius & Schöbel, Anita, 2020. "Approximate cutting plane approaches for exact solutions to robust optimization problems," European Journal of Operational Research, Elsevier, vol. 284(1), pages 20-30.
    • Handle: RePEc:eee:ejores:v:284:y:2020:i:1:p:20-30
    DOI: 10.1016/j.ejor.2019.11.059
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    References listed on IDEAS

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