lagrangean decomposition

A Lagrangean Decomposition Approach for Robust Combinatorial Optimization

  • Frank Baumann
  • Christoph Buchheim
  • Anna Ilyina
    • Categories Combinatorial Optimization, Constrained Nonlinear Optimization, Robust Optimization Tags , , ,

    We address robust versions of combinatorial optimization problems, specializing on the discrete scenario case and the uncorrelated ellipsoidal uncertainty case. We present a branch and bound-algorithm for the min-max variant of these problems which uses lower bounds obtained from Lagrangean decomposition, allowing to separate the uncertainty aspect in the objective function from the combinatorial structure … Read more

    Lagrangean Decomposition for Mean-Variance Combinatorial Optimization

  • Frank Baumann
  • Christoph Buchheim
  • Anna Ilyina
    • Categories Combinatorial Optimization, Constrained Nonlinear Optimization, Robust Optimization Tags , ,

    We address robust versions of combinatorial optimization problems, focusing on the uncorrelated ellipsoidal uncertainty case, which corresponds to so-called mean-variance optimization. We present a branch and bound-algorithm for such problems that uses lower bounds obtained from Lagrangean decomposition. This approach allows to separate the uncertainty aspect in the objective function from the combinatorial structure of … Read more