Decomposition-Based Approaches for a Class of Two-Stage Robust Binary Optimization Problems
Ayşe N. Arslan, Boris Detienne
INFORMS Journal on Computing · 2022 · Volume 34 · Issue 2
Abstract
In this paper, we study a class of two-stage robust binary optimization problems with objective uncertainty, where recourse decisions are restricted to be mixed-binary. For these problems, we present a deterministic equivalent formulation through the convexification of the recourse-feasible region. We then explore this formulation under the lens of a relaxation, showing that the specific relaxation we propose can be solved by using the branch-and-price algorithm. We present conditions under which this relaxation is exact and describe alternative exact solution methods when this is not the case. Despite the two-stage nature of the problem, we provide NP-completeness results based on our reformulations. Finally, we present various applications in which the methodology we propose can be applied. We compare our exact methodology to those approximate methods recently proposed in the literature under the name 𝐾 − K − adaptability. Our computational results show that our methodology is able to produce better solutions in less computational time compared with the 𝐾 − K − adaptability approach, as well as to solve bigger instances than those previously managed in the literature. Summary of Contribution: Our manuscript describes an exact solution approach for a class of robust binary optimization problems with mixed-binary recourse and objective uncertainty. Its development reposes first on a reformulation of the problem, then a carefully constructed relaxation of this reformulation. Our solution approach is designed to exploit the two-stage and binary structure of the problem for effective resolution. In its execution, it relies on the branch-and-price algorithm and its efficient implementation. With our computational experiments, we show that our proposed exact solution method outperforms the existing approximate methodologies and, therefore, pushes the computational envelope for the class of problems considered.
Keywords
two-stage robust optimization, column generation, exact solution methods, mathematical programming
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