An inexact column-and-constraint generation method to solve two-stage robust optimization problems

2022/07/07 by Man Yiu Tsang, Tsang, Man Yiu, Karmel S. Shehadeh +3 · 1 citation
Engineering · #Advanced Control Systems Optimization #Enhanced Oil Recovery Techniques #FOS: Mathematics #Optimization and Control (math.OC) #Reservoir Engineering and Simulation Methods

paper · pdf · doi:10.48550/arxiv.2207.03291

openalex publication_date 2022/07/07 · openalex created_date 2022/07/10 · openalex updated_date 2026/07/28

Abstract

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.

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