Monday, 15:45 - 16:10 h, Room: H 2032


Utz-Uwe Haus
Split cuts for robust and generalized mixed-integer programming

Coauthor: Frank Pfeuffer


Robust Mixed-Integer 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, for both worst-case as well as best-case robustness.
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.


Talk 2 of the invited session Mon.3.H 2032
"Trends in mixed integer programming I" [...]
Cluster 11
"Integer & mixed-integer programming" [...]


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