Abstract
We introduce strong formulations for robust mixed 0–1 programming with uncertain objective coefficients. We focus on a polytopic uncertainty set described by a ``budget constraint'' for allowed uncertainty in the objective coefficients. We show that for a robust 0–1 problem, there is an α–tight linear programming formulation with size polynomial in the size of an α–tight linear programming formulation for the nominal 0–1 problem. We give extensions to robust mixed 0–1 programming and present computational experiments with the proposed formulations.
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Atamtürk, A. Strong Formulations of Robust Mixed 0–1 Programming. Math. Program. 108, 235–250 (2006). https://doi.org/10.1007/s10107-006-0709-5
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DOI: https://doi.org/10.1007/s10107-006-0709-5