Dynamic programming approach to adjustable robust optimization

Published: 2010/12/27

Robust Optimization, Stochastic Programming adjustable variables, coherent risk measures, dynamic equations, inventory model, policy, robust optimization Short URL: https://optimization-online.org/?p=11395

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.

Dynamic programming approach to adjustable robust optimization

Citation

Article