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Solving Two-stage Robust Optimization Problems by A Constraint-and-Column Generation Method Bo Zeng Department of Industrial and Management Systems...
I am really confused while trying to program the "Robust Location-transportation problem" case in "Solving Two-stage Robust Optimization Problems by A Constraint-and-Column Generation Method" with GAMS.
This paper proposed a constraint-and-column generation procedure to handle the 2-stage robust optimization problem. The whole method is implemented in a master-subproblem framework. The Master problem aims to find a Lower bound of the whole problem, while subproblem aims to generation worst scenarios and get Up bounds of the problem. Section 3 of this paper illustrated the Constraint-and-Column Generation Method.
The problem is: I don't understand the contact between the Subproblem and the Masterproblem, especially in the case study. And please tell me how to "add the constraints on the fly" in GAMS.
Someone please HELP me understand and PROGRAM the case study in this paper.