Ricerc@Sapienza

We address combinatorial optimization problems with uncertain coefficients varying over ellipsoidal uncertainty sets. The robust counterpart of such a problem can be rewritten as a second-order cone program(SOCP) with integrality constraints. We propose a branch-and-bound algorithm where dual bounds are computed by means of an active set algorithm. The latter is applied to the Lagrangian dual of the continuous relaxation, where the feasible set of the combinatorial problem is supposed to be given by a separation oracle.