论文标题
一种不精确的列和约束生成方法，用于解决两个阶段的强大优化问题
An inexact column-and-constraint generation method to solve two-stage robust optimization problems
论文作者
论文摘要
我们提出了一种新的不精确列和约束生成（I-C＆CG）方法，以解决两阶段的可靠优化问题。该方法允许解决主问题的解决方案是不确定的，在解决大规模和/或具有挑战性的问题时，这是可取的。它配备了一个回溯程序，可以控制界限和不可到头度之间的权衡。重要的是，这种例程使我们能够为我们的I-C＆CG方法得出理论有限的收敛保证。数值实验证明了我们的I-C＆CG方法比最先进的列和约束生成方法的计算优势。
We propose a new inexact column-and-constraint generation (i-C&CG) method to solve two-stage robust optimization problems. The method allows solutions to the master problems to be inexact, which is desirable when solving large-scale and/or challenging problems. It is equipped with a backtracking routine that controls the trade-off between bound improvement and inexactness. Importantly, this routine allows us to derive theoretical finite convergence guarantees for our i-C&CG method. Numerical experiments demonstrate computational advantages of our i-C&CG method over state-of-the-art column-and-constraint generation methods.
