Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/288833 
Erscheinungsjahr: 
2020
Quellenangabe: 
[Journal:] Computational Optimization and Applications [ISSN:] 1573-2894 [Volume:] 77 [Issue:] 2 [Publisher:] Springer US [Place:] New York, NY [Year:] 2020 [Pages:] 539-569
Verlag: 
Springer US, New York, NY
Zusammenfassung: 
In this work we study binary two-stage robust optimization problems with objective uncertainty. We present an algorithm to calculate efficiently lower bounds for the binary two-stage robust problem by solving alternately the underlying deterministic problem and an adversarial problem. For the deterministic problem any oracle can be used which returns an optimal solution for every possible scenario. We show that the latter lower bound can be implemented in a branch and bound procedure, where the branching is performed only over the first-stage decision variables. All results even hold for non-linear objective functions which are concave in the uncertain parameters. As an alternative solution method we apply a column-and-constraint generation algorithm to the binary two-stage robust problem with objective uncertainty. We test both algorithms on benchmark instances of the uncapacitated single-allocation hub-location problem and of the capital budgeting problem. Our results show that the branch and bound procedure outperforms the column-and-constraint generation algorithm.
Schlagwörter: 
Two-stage robust optimization
Non-linear binary optimization
Branch and bound algorithm
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