Explicit sets with ideal robustness are achievable in combinatorial optimization problems with cost uncertainty

Abstract

We present an standard constraints generation algorithm to find an explicit set whose robustness is equal to the robustness of the feasible solution set of a combinatorial optimization problem with cost uncertainty. Computational experience shows that for problems with moderate dimensions the running time of the algorithm may be tolerable and in many cases the number of solutions required to achieve near-ideal robustness may be manageable for decision makers.