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On 2-stage robust LP with RHS uncertainty: complexity results and applications

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  • Michel Minoux

Abstract

We investigate here the class—denoted R-LP-RHSU—of two-stage robust linear programming problems with right-hand-side uncertainty. Such problems arise in many applications e.g: robust PERT scheduling (with uncertain task durations); robust maximum flow (with uncertain arc capacities); robust network capacity expansion problems; robust inventory management; some robust production planning problems in the context of power production/distribution systems. It is shown that such problems can be formulated as large scale linear programs with associated nonconvex separation subproblem. A formal proof of strong NP-hardness for the general case is then provided, and polynomially solvable subclasses are exhibited. Differences with other previously described robust LP problems (featuring row-wise uncertainty instead of column wise uncertainty) are highlighted. Copyright Springer Science+Business Media, LLC. 2011

Suggested Citation

  • Michel Minoux, 2011. "On 2-stage robust LP with RHS uncertainty: complexity results and applications," Journal of Global Optimization, Springer, vol. 49(3), pages 521-537, March.
    • Handle: RePEc:spr:jglopt:v:49:y:2011:i:3:p:521-537
    DOI: 10.1007/s10898-010-9645-2
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    References listed on IDEAS

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    3. Deng, Menghua & Li, Yuanbo & Ding, Jianpeng & Zhou, Yanlin & Zhang, Lianming, 2024. "Stochastic and robust truck-and-drone routing problems with deadlines: A Benders decomposition approach," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 190(C).
    4. Krumke, Sven O. & Schmidt, Eva & Streicher, Manuel, 2019. "Robust multicovers with budgeted uncertainty," European Journal of Operational Research, Elsevier, vol. 274(3), pages 845-857.
    5. Christoph Buchheim & Jannis Kurtz, 2018. "Robust combinatorial optimization under convex and discrete cost uncertainty," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 6(3), pages 211-238, September.
    6. Bruni, M.E. & Di Puglia Pugliese, L. & Beraldi, P. & Guerriero, F., 2017. "An adjustable robust optimization model for the resource-constrained project scheduling problem with uncertain activity durations," Omega, Elsevier, vol. 71(C), pages 66-84.
    7. Mattia, Sara & Rossi, Fabrizio & Servilio, Mara & Smriglio, Stefano, 2017. "Staffing and scheduling flexible call centers by two-stage robust optimization," Omega, Elsevier, vol. 72(C), pages 25-37.
    8. Nicolas Kämmerling & Jannis Kurtz, 2020. "Oracle-based algorithms for binary two-stage robust optimization," Computational Optimization and Applications, Springer, vol. 77(2), pages 539-569, November.
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