Towards Large-scale Probabilistic Set Covering Problem: An Efficient Benders Decomposition Approach

Abstract: In this paper, we investigate the probabilistic set covering problems (PSCP) in which the right-hand side is a random vector {\xi} and the covering constraint is required to be satisfied with a prespecified probability. We consider the case arising from sample average approximation (or finite discrete distributions). We develop an effective Benders decomposition (BD) algorithm for solving large-scale PSCPs, which enjoys two key advantages: (i) the number of variables in the underlying Benders reformulation is independent of the scenario size; and (ii) the Benders cuts can be separated by an efficient combinatorial algorithm. For the special case that {\xi} is a combination of several independent random blocks/subvectors, we explicitly take this kind of block structure into consideration and develop a more efficient BD algorithm. Numerical results on instances with up to one million scenarios demonstrate the effectiveness of the proposed BD algorithms over a black-box MIP solver's branch-and-cut and automatic BD algorithms and a state-of-the-art algorithm in the literature.