We consider solving a group of dual optimization problems that share a core structure: Every primal problem of the group is obtained by the right-hand side variation of constraints in the original primal problem, while the other core part of the original primal problem, such as the objective and the left-hand side of the constraints, … Read more
Dantzig-Wolfe (DW) decomposition is a well-known technique in mixed-integer programming for decomposing and convexifying constraints to obtain potentially strong dual bounds. We investigate Fenchel cuts that can be derived using the DW decomposition algorithm and show that these cuts can provide the same dual bounds as DW decomposition. We show that these cuts, in essence, … Read more
This paper explores a class of nonlinear Adjustable Robust Optimization (ARO) problems, containing here-and-now and wait-and-see variables, with uncertainty in the objective function and constraints. By applying Fenchel’s duality on the wait-and-see variables, we obtain an equivalent dual reformulation, which is a nonlinear static robust optimization problem. Using the dual formulation, we provide conditions under … Read more