An SDP dual relaxation for the Robust Shortest Path Problem with ellipsoidal uncertainty: Pierra's decomposition method and a new primal Frank-Wolfe-type heuristics for duality gap evaluation

Chifaa Al Dahik, Zeina Al Masry, Stéphane Chrétien +2

This work addresses the Robust counterpart of the Shortest Path Problem (RSPP) with a correlated uncertainty set. Since this problem is hard, a heuristic approach, based on Frank-W…