A Scalable Algorithm for Two-Stage Adaptive Linear Optimization (1807.02812v1)

Abstract: The column-and-constraint generation (CCG) method was introduced by \citet{Zeng2013} for solving two-stage adaptive optimization. We found that the CCG method is quite scalable, but sometimes, and in some applications often, produces infeasible first-stage solutions, even though the problem is feasible. In this research, we extend the CCG method in a way that (a) maintains scalability and (b) always produces feasible first-stage decisions if they exist. We compare our method to several recently proposed methods and find that it reaches high accuracies faster and solves significantly larger problems.