Strong Formulations of Robust Mixed 0–1 Programming

Authors:
Alper Atamtürk
Affiliations:
Industrial Engineering and Operations Research, University of California, 4141 Etcheverry Hall, 94720-1777, Berkeley, CA, USA
Venue:
Mathematical Programming: Series A and B
Year:
2006

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Abstract

We introduce strong formulations for robust mixed 0–1 programming with uncertain objective coefficients. We focus on a polytopic uncertainty set described by a ``budget constraint'' for allowed uncertainty in the objective coefficients. We show that for a robust 0–1 problem, there is an α–tight linear programming formulation with size polynomial in the size of an α–tight linear programming formulation for the nominal 0–1 problem. We give extensions to robust mixed 0–1 programming and present computational experiments with the proposed formulations.