NeurPRISE trains a GNN-Transformer via imitation learning to mimic a lookahead heuristic for scenario reduction in 2RO, delivering 7-200x speedups with competitive regret on three test problems and zero-shot generalization.
Solving two-stage robust optimization problems using a column-and-constraint generation method.Operations Research Letters, 41(5):457–461, 2013
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Learning Scenario Reduction for Two-Stage Robust Optimization with Discrete Uncertainty
NeurPRISE trains a GNN-Transformer via imitation learning to mimic a lookahead heuristic for scenario reduction in 2RO, delivering 7-200x speedups with competitive regret on three test problems and zero-shot generalization.