search

XiongPengNUS / rsome

Robust Stochastic Optimization Made Easy
GNU General Public License v3.0
290 stars 56 forks source link

Solving algorithm #8

Closed sanglinwei closed 2 years ago

sanglinwei commented 3 years ago

I wonder what is algorithm behind the two stage robust algorithm, C&CG or other?

XiongPengNUS commented 2 years ago

We are not using any cutting-plane or column generation algorithm here. The solution obtained is an approximated one, as affine decision rules are used to approximate the wait-and-see decisions in multi-stage problems.