Article ID Journal Published Year Pages File Type
1142502 Operations Research Letters 2012 7 Pages PDF
Abstract

Robust optimization problems are conventionally solved by reformulation as non-robust problems. We propose a direct method to separate split cuts for robust mixed-integer programs with polyhedral uncertainty sets. The method generalizes the well-known cutting plane procedure of Balas. Computational experiments show that applying cutting planes directly is favorable to the reformulation approach. It is thus viable to solve robust MIP problems in a branch-and-cut framework using a generalized linear programming oracle.

Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
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