A heuristic to minimax absolute regret for linear programs with interval objective function coefficients

A heuristic to minimax absolute regret for linear programs with interval objective function coefficients

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Article ID: iaor20002448
Country: Netherlands
Volume: 117
Issue: 1
Start Page Number: 157
End Page Number: 174
Publication Date: Aug 1999
Journal: European Journal of Operational Research
Authors: ,
Keywords: heuristics
Abstract:

Decision makers faced with uncertain information often experience regret upon learning that an alternative action would have been preferable to the one actually selected. Models that minimize the maximum regret can be useful in such situations, especially when decisions are subject to ex post review. Of particular interest are those decision problems that can be modeled as linear programs with interval objective function coefficients. The minimax regret solution for these formulations can be found using an algorithm that, at each iteration, solves first a linear program to obtain a candidate solution and then a mixed integer program to maximize the corresponding regret. The exact solution of the MIP is computationally expensive and becomes impractial as the problem size increases. In this paper, we develop a heuristic for the MIP and investigate its performance both alone and in combination with exact procedures. The heuristic is shown to be effective for problems that are significantly larger than those previously reported in the literature.

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