A dynamic programming approach to adjustable robust optimization
نویسنده
چکیده
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. All rights reserved.
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ورودعنوان ژورنال:
- Oper. Res. Lett.
دوره 39 شماره
صفحات -
تاریخ انتشار 2011