K-Adaptability in Two-Stage Robust Binary Programming

@article{Hanasusanto2015KAdaptabilityIT,
  title={K-Adaptability in Two-Stage Robust Binary Programming},
  author={Grani Adiwena Hanasusanto and Daniel Kuhn and Wolfram Wiesemann},
  journal={Operations Research},
  year={2015},
  volume={63},
  pages={877-891}
}
Over the last two decades, robust optimization has emerged as a computationally attractive approach to formulate and solve single-stage decision problems affected by uncertainty. More recently, robust optimization has been successfully applied to multi-stage problems with continuous recourse. This paper takes a step towards extending the robust optimization methodology to problems with integer recourse, which have largely resisted solution so far. To this end, we approximate two-stage robust… CONTINUE READING

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