Nested Column-and-Constraint Generation (nested C&CG) for Two-Stage Robust Optimization

This is an example of solving two-stage robust optimization problems with MIP recourse using nested C&CG algorithm. If the problem's recourse is LP, then only C&CG is enough.

Requirements

[1] Lofberg J. YALMIP: A toolbox for modeling and optimization in MATLAB[C]//2004 IEEE international conference on robotics and automation (IEEE Cat. No. 04CH37508). IEEE, 2004: 284-289. Available: https://yalmip.github.io/

[2] Any mixed-integer linear programming (MILP) solver.

Reference

[1] L. Zhao and B. Zeng, “An exact algorithm for two-stage robust optimization with mixed integer recourse problems,” submitted, available on Optimization-Online. org, 2012.