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: | Laguna Manuel, Mausser Helmut E. |
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.