Robust optimization of uncertain multistage inventory systems with inexact data in decision rules

DOI10.1007/s10287-016-0253-6zbMath1397.90047OpenAlexW2337097942MaRDI QIDQ1789612

Dick den Hertog, Ruud C. M. Brekelmans, Aharon Ben-Tal, Frans J. C. T. de Ruiter

Publication date: 10 October 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-016-0253-6

zbMATH Keywords

decision rulesadjustable robust optimizationproduction-inventory problemsinexact datapoor data quality

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Management decision making, including multiple objectives (90B50) Inventory, storage, reservoirs (90B05)

Related Items (11)

Multistage robust discrete optimization via quantified integer programming ⋮ Adjustable robust optimization through multi-parametric programming ⋮ Sums of squares polynomial program reformulations for adjustable robust linear optimization problems with separable polynomial decision rules ⋮ Affinely adjustable robust optimization for a multi‐period inventory problem with capital constraints and demand uncertainties ⋮ Quadratically adjustable robust linear optimization with inexact data via generalized S-lemma: exact second-order cone program reformulations ⋮ A robust optimization approach for the unrelated parallel machine scheduling problem ⋮ Conditions under which adjustability lowers the cost of a robust linear program ⋮ A perfect information lower bound for robust lot-sizing problems ⋮ A survey of adjustable robust optimization ⋮ Exact SDP reformulations of adjustable robust linear programs with box uncertainties under separable quadratic decision rules via SOS representations of non-negativity ⋮ Adjustable robust treatment-length optimization in radiation therapy

Uses Software

• Gurobi
• YALMIP
• ROME

Cites Work

• Unnamed Item
• Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules
• The value of rolling-horizon policies for risk-averse hydro-thermal planning
• On the power and limitations of affine policies in two-stage adaptive optimization
• Multi-period portfolio optimization with linear control policies
• Adjustable robust solutions of uncertain linear programs
• Data-driven robust optimization
• Deriving robust counterparts of nonlinear uncertain inequalities
• Robust Optimization Made Easy with ROME
• Automatic robust convex programming
• Theory and Applications of Robust Optimization
• An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs
• Supermodularity and Affine Policies in Dynamic Robust Optimization
• Robust capacity expansion of network flows
• A Hierarchy of Near-Optimal Policies for Multistage Adaptive Optimization
• Convex Analysis

This page was built for publication: Robust optimization of uncertain multistage inventory systems with inexact data in decision rules