RobustOptLagrangianDual.jl is a Julia implementation of a Lagrangian dual algorithm for solving two-stage robust optimization problems. The details of the algorithm and problem formulation can be found in the following paper:
@article{subramanyam2021lagrangian,
title={A Lagrangian Dual Method for Two-Stage Robust Optimization with Binary Uncertainties},
author={Subramanyam, Anirudh},
journal={arXiv preprint arXiv:2112.13138},
year={2021}
}
Please refer to the documentation for installation, usage and examples.