The Steiner travelling salesman problem with correlated costs
The Steiner TSP is a variant of the TSP suitable for road networks. We consider an extension with stochastic and correlated costs. This is modelled as a mean-variance optimisation problem. We show how to approximate the efficient frontier via integer programming. Instances with up to 100 nodes can be solved in reasonable times.
travelling salesman problem mean-variance optimisation mixed-integer nonlinear programming