Solving two-stage robust optimization problems using a column-and-constraint generation method

In this paper, we present a column-and-constraint generation algorithm to solve two-stage robust optimization problems. Compared with existing Benders-style cutting plane methods, the column-and-constraint generation algorithm is a general procedure with a unified approach to deal with optimality and feasibility. A computational study on a two-stage robust location-transportation problem shows that it performs an order of magnitude faster.