Technical Note: Multistage Robust Mixed-Integer Programming

• 成果类型: Article; Early Access
• 署名作者: Postek, Krzysztof; Romeijnders, Ward; Wiesemann, Wolfram
• 署名单位: Delft University of Technology; University of Groningen; Imperial College London
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2023.0520
• 发表日期: 2025
• 关键词: finite adaptability; Decision rules; optimization

摘要

Multistage robust optimization, in which decisions are taken sequentially as new information becomes available about uncertain problem parameters, is a very versatile yet computationally challenging paradigm for decision making under uncertainty. In this technical note, we propose a new model and solution approach for multistage robust mixed-integer programs, which may contain both continuous and discrete decisions at any time stage. Our model builds upon the finite adaptability scheme developed for two-stage robust optimization problems, and it allows us to decompose the multistage problem into a large number of much simpler two-stage problems. We discuss how these two-stage problems can be solved both exactly and approximately, and we report numerical results for route planning and location-transportation problems.