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 papers:
@article{subramanyam2022lagrangian,
title={A Lagrangian dual method for two-stage robust optimization with binary uncertainties},
author={Subramanyam, Anirudh},
journal={Optimization and Engineering},
volume={23},
number={4},
pages={1831--1871},
year={2022},
publisher={Springer}
}
@article{lefebvre2024correction,
title={Correction to: A Lagrangian dual method for two-stage robust optimization with binary uncertainties},
author={Lefebvre, Henri and Subramanyam, Anirudh},
journal={arXiv preprint arXiv:2411.04307},
year={2024}
}
Please refer to the documentation for installation, usage and examples.