A dynamic programming approach to adjustable robust optimization
نویسندگان
چکیده
منابع مشابه
Dynamic programming approach to adjustable robust optimization
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.
متن کاملA dynamic programming approach to adjustable robust optimization
In this paper we consider the adjustable robust approach to multistage optimization, for which we derive dynamic programming equations. We also discuss this from the point of view of risk averse stochastic programming.We consider as an example a robust formulation of the classical inventorymodel and show that, like for the risk neutral case, a basestock policy is optimal. © 2011 Elsevier B.V. A...
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Format (5.1.1) covers all uncertain optimization problems considered so far; moreover, in these latter problems the objective f and the right hand side F of the constraints always were bi-affine in x, ζ, (that is, affine in x when ζ is fixed, and affine in ζ, x being fixed), and K was a “simple” convex cone (a direct product of nonnegative rays/Lorentz cones/Semidefinite cones, depending on whe...
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abstractaccidents and natural disasters and crises coming out of them indicate the importance of an integrated planning to reduce their effected. therefore, disaster relief logistics is one of the main activities in disaster management. in this paper, we study the response phase of the disaster management cycle and a bi-objective model has been developed for relief chain logistic in uncertainty...
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ژورنال
عنوان ژورنال: Operations Research Letters
سال: 2011
ISSN: 0167-6377
DOI: 10.1016/j.orl.2011.01.001