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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.

Suggested Citation

  • 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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