A Hierarchy of Near-Optimal Policies for Multistage Adaptive Optimization
From MaRDI portal
Publication:5347915
DOI10.1109/TAC.2011.2162878zbMath1368.93336MaRDI QIDQ5347915
Dan Andrei Iancu, Pablo A. Parrilo, Dimitris J. Bertsimas
Publication date: 25 August 2017
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/tac.2011.2162878
90C90: Applications of mathematical programming
93C55: Discrete-time control/observation systems
90C39: Dynamic programming
Related Items
Time-Varying Semidefinite Programs, Adjustable Robust Optimization via Fourier–Motzkin Elimination, Exploiting the Structure of Two-Stage Robust Optimization Models with Exponential Scenarios, Piecewise Constant Decision Rules via Branch-and-Bound Based Scenario Detection for Integer Adjustable Robust Optimization, Disjoint Bilinear Optimization: A Two-Stage Robust Optimization Perspective, Adjustable Robust Optimization Reformulations of Two-Stage Worst-Case Regret Minimization Problems, ROC++: Robust Optimization in C++, Robust Dual Dynamic Programming, A Primal–Dual Lifting Scheme for Two-Stage Robust Optimization, Convex Optimization for Finite-Horizon Robust Covariance Control of Linear Stochastic Systems, DSOS and SDSOS Optimization: More Tractable Alternatives to Sum of Squares and Semidefinite Optimization, Robust Optimization of Sums of Piecewise Linear Functions with Application to Inventory Problems, A polynomial-time solution scheme for quadratic stochastic programs, Robust fractional programming, Distributionally robust multi-item newsvendor problems with multimodal demand distributions, Generalized decision rule approximations for stochastic programming via liftings, Distribution-dependent robust linear optimization with applications to inventory control, On the power and limitations of affine policies in two-stage adaptive optimization, Binary decision rules for multistage adaptive mixed-integer optimization, A unified framework for stochastic optimization, Multipolar robust optimization, A survey of adjustable robust optimization, A copositive approach for two-stage adjustable robust optimization with uncertain right-hand sides, Approximating the Pareto set of multiobjective linear programs via robust optimization, Decomposition for adjustable robust linear optimization subject to uncertainty polytope, Robust optimization of uncertain multistage inventory systems with inexact data in decision rules, International portfolio management with affine policies, Exact conic programming reformulations of two-stage adjustable robust linear programs with new quadratic decision rules, The decision rule approach to optimization under uncertainty: methodology and applications, Hybrid strategies using linear and piecewise-linear decision rules for multistage adaptive linear optimization, Adjustable robust optimization through multi-parametric programming, Approximate cutting plane approaches for exact solutions to robust optimization problems, Multistage Robust Mixed-Integer Optimization with Adaptive Partitions, 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