Two stage robust optimization using a column-and-constraint generation (C&CG) method and Benders Decomposition. This is an example code for the classical C&CG algorithm for two stage robust optimization, which is programmed by Python and solved by Gurobi solver.
please refer to
"Zeng B, Zhao L. Solving two-stage robust optimization problems using a column-and-constraint generation method[J]. Operations Research Letters, 2013, 41(5): 457-461."
for more details.
All the constraints were transformed into Matrix formulations.
C&CG iteration process
| interations | LB | UB |
|---|---|---|
| 1 | 14296 | 35238 |
| 2 | 33680 | 33680 |
Benders decomposition iteration process
| interations | LB | UB |
|---|---|---|
| 1 | 14296 | 35238 |
| 2 | 14665 | 35238 |
| 3 | 14860 | 35238 |
| 4 | 15227 | 35238 |
| 5 | 30532 | 34556 |
| 6 | 30956 | 34556 |
| 7 | 30958 | 34556 |
| 8 | 31383 | 34556 |
| 9 | 33127 | 33680 |
| 10 | 33543 | 33680 |
| 11 | 33680 | 33680 |