A tractable approach for designing piecewise affine policies in two-stage adjustable robust optimization
From MaRDI portal
Publication:2191764
DOI10.1007/s10107-019-01385-0zbMath1445.90071arXiv1801.06751WikidataQ114852453 ScholiaQ114852453MaRDI QIDQ2191764
Vineet Goyal, Omar El Housni, Aharon Ben-Tal
Publication date: 26 June 2020
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.06751
90C47: Minimax problems in mathematical programming
90C39: Dynamic programming
49K35: Optimality conditions for minimax problems
90C17: Robustness in mathematical programming
Related Items
On the Optimality of Affine Policies for Budgeted Uncertainty Sets, Optimization under uncertainty and risk: quadratic and copositive approaches, Multipolar robust optimization, Saddle point approximation approaches for two-stage robust optimization problems, LP-based approximations for disjoint bilinear and two-stage adjustable robust optimization, Robust inventory management with multiple supply sources
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the power and limitations of affine policies in two-stage adaptive optimization
- On the performance of affine policies for two-stage adaptive optimization: a geometric perspective
- Stochastic programming approach to optimization under uncertainty
- Robust solutions of uncertain linear programs
- Robust discrete optimization and network flows
- Adjustable robust solutions of uncertain linear programs
- Piecewise static policies for two-stage adjustable robust linear optimization
- Decomposition for adjustable robust linear optimization subject to uncertainty polytope
- Robust optimization-methodology and applications
- Robust Convex Optimization
- Linear Programming under Uncertainty
- Multistage Robust Mixed-Integer Optimization with Adaptive Partitions
- Multistage Adjustable Robust Mixed-Integer Optimization via Iterative Splitting of the Uncertainty Set
- Theory and Applications of Robust Optimization
- Optimality of Affine Policies in Multistage Robust Optimization
- A Geometric Characterization of the Power of Finite Adaptability in Multistage Stochastic and Adaptive Optimization
- A Linear Decision-Based Approximation Approach to Stochastic Programming
- Design of Near Optimal Decision Rules in Multistage Adaptive Mixed-Integer Optimization
- The Price of Robustness
- Lectures on Stochastic Programming
- Robust Solutions to Least-Squares Problems with Uncertain Data
- Finite Adaptability in Multistage Linear Optimization
- Supermodularity and Affine Policies in Dynamic Robust Optimization
- Robust Combinatorial Optimization with Exponential Scenarios
- Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
- Robust Portfolio Selection Problems
