On the power and limitations of affine policies in two-stage adaptive optimization
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چکیده
منابع مشابه
On the power and limitations of affine policies in two-stage adaptive optimization
We consider a two-stage adaptive linear optimization problem under right hand side uncertainty with a min–max objective and give a sharp characterization of the power and limitations of affine policies (where the second stage solution is an affine function of the right hand side uncertainty). In particular, we show that the worst-case cost of an optimal affine policy can be (m1/2−δ) times the w...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2011
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-011-0444-4