Dynamic programming approach to adjustable robust optimization
Abstract: In this paper we consider the adjustable robust approach to multistage optimization, for which we derive dynamic programming equations. We also discuss this from a point of view of risk averse stochastic programming. As an example we consider a robust formulation of the classical inventory model and show that, similar to the risk neutral case, a basestock policy is optimal.
Keywords: Robust optimization, adjustable variables, policy, dynamic equations, coherent risk measures, inventory model.
Category 1: Robust Optimization
Category 2: Stochastic Programming
Citation: Technical report
Entry Submitted: 12/27/2010
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