Multistage Robust Mixed-Integer Optimization with Adaptive Partitions

@article{Bertsimas2016MultistageRM,
  title={Multistage Robust Mixed-Integer Optimization with Adaptive Partitions},
  author={Dimitris Bertsimas and Iain Dunning},
  journal={Operations Research},
  year={2016},
  volume={64},
  pages={980-998}
}
We present a new partition-and-bound method for multistage adaptive mixed integer optimization (AMIO) problems that extends previous work on finite adaptability. The approach analyzes the optimal solution to a static (non-adaptive) version of an AMIO problem to gain insight into which regions of the uncertainty set are restricting the objective function value. We use this information to construct partitions in the uncertainty set, leading to a finitely adaptable formulation of the problem. We… CONTINUE READING
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