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Séminaire Recherche Opérationnelle - Probabilités et Statistiques

Responsable Ruslan Sadykov

  • Le 2 décembre 2021 à 11:00
  • Salle 2
    Boris Detienne, IMB
    Mixed-integer convex two-stage robust optimization with objective uncertainty
    In this work, we study the class of optimization problems where some costs are not known at decision time and the decision flow is modeled as a two-stage process. We show how two-stage robust models for this class of problems can be solved by means of a branch-and-price algorithm where one may branch on continuous values so as to tighten the optimality gap. Our approach generalizes a recent result from the literature which addressed the linear case and was only applicable in presence of linking constraints involving binary variables, and extends the associated results to problems with convex constraints and general mixed-integer linking constraints.