A new mixed integer formulation for the maximum regret problem

A new mixed integer formulation for the maximum regret problem

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Article ID: iaor20001098
Country: United Kingdom
Volume: 5
Issue: 5
Start Page Number: 389
End Page Number: 403
Publication Date: Sep 1998
Journal: International Transactions in Operational Research
Authors: ,
Abstract:

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.

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