He. Mausser et M. Laguna, Minimising the maximum relative regret for linear programmes with intervalobjective function coefficients, J OPER RES, 50(10), 1999, pp. 1063-1070
The minimax relative regret solution to a linear programme with interval ob
jective function coefficients can be found using an algorithm that, at each
iteration, solves a linear programme to generate a candidate solution and
a mixed integer programme (MIP) to find the corresponding maximum regret. T
his paper first shows that there exists a regret-maximising solution in whi
ch all uncertain costs are at a bound and then uses this to derive a MIP fo
rmulation that maximises the regret of a candidate solution. Computational
experiments demonstrate that this approach is effective for problems with u
p to 50 uncertain objective function coefficients, significantly improving
upon the existing enumerative method.