A dynamic programming approach to adjustable robust optimization
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Publication:2275569
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Cites work
- A Robust Optimization Approach to Inventory Theory
- Adjustable robust solutions of uncertain linear programs
- Coherent measures of risk
- Coherent risk measures in inventory problems
- Conditional Risk Mappings
- Dynamic coherent risk measures
- Foundations of inventory management
- Lectures on Stochastic Programming
- Modeling, measuring and managing risk
- Optimization of Convex Risk Functions
- Risk-averse dynamic programming for Markov decision processes
- Robust Control of Markov Decision Processes with Uncertain Transition Matrices
- Robust Dynamic Programming
- Robust optimization
- Stochastic finance. An introduction in discrete time
Cited in
(21)- Time consistent multi-period worst-case risk measure in robust portfolio selection
- Conditions under which adjustability lowers the cost of a robust linear program
- A survey of adjustable robust optimization
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- Robust optimization of uncertain multistage inventory systems with inexact data in decision rules
- Minimax and risk averse multistage stochastic programming
- Oracle-based algorithms for binary two-stage robust optimization
- Time (in)consistency of multistage distributionally robust inventory models with moment constraints
- Robust control of the multi-armed bandit problem
- A survey of decision making and optimization under uncertainty
- Recent advances in robust optimization: an overview
- The proactive and reactive resource-constrained project scheduling problem
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance
- Multistage robust discrete optimization via quantified integer programming
- A dynamic programming approach for a class of robust optimization problems
- The impact of the existence of multiple adjustable robust solutions
- Robust Dual Dynamic Programming
- Supermodularity and affine policies in dynamic robust optimization
- Robust combinatorial optimization under convex and discrete cost uncertainty
- Nonsmooth Lagrange multiplier rules for adjustable robust optimization via generalized differentiation
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