Reformulation versus cutting-planes for robust optimization.
Dimitris BertsimasIain DunningMiles LubinPublished in: Comput. Manag. Sci. (2016)
Keyphrases
- robust optimization
- cutting plane
- mixed integer
- integer programming
- mathematical programming
- dantzig wolfe decomposition
- stochastic programming
- lot sizing
- column generation
- lower bound
- portfolio selection
- integer program
- knapsack problem
- semidefinite programming
- decision theory
- multistage
- state space
- mixed integer programming
- branch and bound
- worst case
- genetic algorithm
- optimal solution
- objective function
- reinforcement learning