2-stage robust MILP with continuous recourse variables

We solve a linear robust problem with mixed-integer first-stage variables and continuous second stage variables. We consider column wise uncertainty. We first focus on a problem with right hand-side uncertainty which satisfies a "full recourse property" and a specific definition of the uncertainty. We propose a solution based on a generation constraint algorithm. Then we give some generalizations of the approach: for left-hand side uncertainty. and for uncertainty sets defined by a polytope. Finally we solve the problem when the "full recourse property" is not satisfied. (C) 2014 Elsevier B.V. All rights reserved.