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A New Mixed Integer Formulation for the Maximum Regret Problem
Author(s) -
Mausser H.E.,
Laguna M.
Publication year - 1998
Publication title -
international transactions in operational research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.032
H-Index - 52
eISSN - 1475-3995
pISSN - 0969-6016
DOI - 10.1111/j.1475-3995.1998.tb00122.x
Subject(s) - regret , mathematical optimization , linear programming , interval (graph theory) , mathematics , piecewise linear function , integer (computer science) , function (biology) , integer programming , minimax , piecewise , computer science , combinatorics , statistics , mathematical analysis , geometry , evolutionary biology , biology , programming language
The minimax regret solution to a linear program with interval objective function coefficients can be found using an algorithm that, at each iteration, solves a linear program to generate a candidate solution and a mixed integer program to find the corresponding maximum regret. This paper presents a new formulation for the latter problem that exploits the piecewise linear structure of the cost coefficients. Computational results indicate that this yields a stronger formulation than the previous approach.