Adaptive Relaxations for Multistage Robust Optimization

Abstract: Multistage robust optimization problems can be interpreted as two-person zero-sum games between two players. We exploit this game-like nature and utilize a game tree search in order to solve quantified integer programs (QIPs). In this algorithmic environment relaxations are repeatedly called to asses the quality of a branching variable and for the generation of bounds. A useful relaxation, however, must be well balanced with regard to its quality and its computing time. We present two relaxations that incorporate scenarios from the uncertainty set, whereby the considered set of scenarios is continuously adapted according to the latest information gathered during the search process. Using selection, assignment, and runway scheduling problems as a testbed, we show the impact of our findings.