Optimality of Affine Policies in Multistage Robust Optimization
From MaRDI portal
Publication:3169098
DOI10.1287/moor.1100.0444zbMath1218.90216arXiv0904.3986MaRDI QIDQ3169098
Pablo A. Parrilo, Dan Andrei Iancu, Dimitris J. Bertsimas
Publication date: 27 April 2011
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0904.3986
dynamic; robust optimization; programming; optimal policies; inventory management; convex costs; multistage minimax
90C25: Convex programming
90C47: Minimax problems in mathematical programming
90C39: Dynamic programming
49J30: Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.)
Related Items
Robust Inventory Management: An Optimal Control Approach, Robust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion Information, Adjustable Robust Optimization via Fourier–Motzkin Elimination, On the Optimality of Affine Policies for Budgeted Uncertainty Sets, Disjoint Bilinear Optimization: A Two-Stage Robust Optimization Perspective, Adjustable Robust Optimization Reformulations of Two-Stage Worst-Case Regret Minimization Problems, Robust Capacity Planning for Project Management, Robust Dual Dynamic Programming, Designing Response Supply Chain Against Bioattacks, A Primal–Dual Lifting Scheme for Two-Stage Robust Optimization, Technical Note—Time Inconsistency of Optimal Policies of Distributionally Robust Inventory Models, Convex Optimization for Finite-Horizon Robust Covariance Control of Linear Stochastic Systems, Approximate dynamic programming via iterated Bellman inequalities, Robust Optimization of Sums of Piecewise Linear Functions with Application to Inventory Problems, Distributionally Robust Inventory Control When Demand Is a Martingale, Decision rule-based method in solving adjustable robust capacity expansion problem, Min-Max-Min Optimization with Smooth and Strongly Convex Objectives, Affine routing for robust network design, Optimization under uncertainty and risk: quadratic and copositive approaches, Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens, Robust two-stage combinatorial optimization problems under discrete demand uncertainties and consistent selection constraints, A two-stage robust optimization approach for the mobile facility fleet sizing and routing problem under uncertainty, The impact of the existence of multiple adjustable robust solutions, Stochastic receding horizon control with output feedback and bounded controls, Generalized decision rule approximations for stochastic programming via liftings, Robust combinatorial optimization under convex and discrete cost uncertainty, Two-stage robust LP with ellipsoidal right-hand side uncertainty is NP-hard, On the power and limitations of affine policies in two-stage adaptive optimization, Two-stage robust mixed integer programming problem with objective uncertainty, Piecewise static policies for two-stage adjustable robust linear optimization, When are static and adjustable robust optimization problems with constraint-wise uncertainty equivalent?, Binary decision rules for multistage adaptive mixed-integer optimization, Conditions under which adjustability lowers the cost of a robust linear program, Multipolar robust optimization, A survey of adjustable robust optimization, On the average performance of the adjustable RO and its use as an offline tool for multi-period production planning under uncertainty, Prescriptive analytics for human resource planning in the professional services industry, The decision rule approach to optimization under uncertainty: methodology and applications, Saddle point approximation approaches for two-stage robust optimization problems, Oracle-based algorithms for binary two-stage robust optimization, Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming, Time (in)consistency of multistage distributionally robust inventory models with moment constraints, Hybrid strategies using linear and piecewise-linear decision rules for multistage adaptive linear optimization, An adaptive robust optimization model for parallel machine scheduling, Multistage adaptive robust optimization for the hydrothermal scheduling problem, Stochastic optimization in supply chain networks: averaging robust solutions, A tractable approach for designing piecewise affine policies in two-stage adjustable robust optimization, Recent advances in robust optimization: an overview, Designing networks with resiliency to edge failures using two-stage robust optimization, Optimality of robust disturbance-feedback strategies, Multistage Adaptive Robust Optimization for the Unit Commitment Problem, Multistage Robust Mixed-Integer Optimization with Adaptive Partitions, Duality in Two-Stage Adaptive Linear Optimization: Faster Computation and Stronger Bounds, Multistage Adjustable Robust Mixed-Integer Optimization via Iterative Splitting of the Uncertainty Set, Design of Near Optimal Decision Rules in Multistage Adaptive Mixed-Integer Optimization
