Technical note: multistage robust mixed-integer programming
File(s)
Author(s)
Postek, Krzysztof
Romeijnders, Ward
Wiesemann, Wolfram
Type
Journal Article
Abstract
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.
Date Issued
2025-11-01
Date Acceptance
2024-12-05
Citation
Operations Research, 2025, 73 (6), pp.2867-3452
ISSN
0030-364X
Publisher
Institute for Operations Research and Management Sciences
Start Page
2867
End Page
3452
Journal / Book Title
Operations Research
Volume
73
Issue
6
Copyright Statement
Copyright Copyright © 2025, INFORMS This is the author’s accepted manuscript made available under a CC-BY licence in accordance with Imperial’s Research Publications Open Access policy (www.imperial.ac.uk/oa-policy)
License URL
Subjects
Business & Economics
DECISION RULES
FINITE ADAPTABILITY
Management
mixed-integer optimization
multistage problems
Operations Research & Management Science
OPTIMIZATION
robust optimization
Science & Technology
Social Sciences
Technology
Publication Status
Published
Date Publish Online
2025-01-30