A dynamic programming approach to adjustable robust optimization

DOI10.1016/j.orl.2011.01.001zbMath1218.90186OpenAlexW2026665790WikidataQ93625120 ScholiaQ93625120MaRDI QIDQ2275569

Alexander Shapiro

Publication date: 9 August 2011

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2011.01.001

zbMATH Keywords

robust optimizationcoherent risk measurespolicydynamic equationsinventory modeladjustable variables

Mathematics Subject Classification ID

Nonlinear programming (90C30) Stochastic programming (90C15)

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Cites Work

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• Risk-averse dynamic programming for Markov decision processes
• Coherent risk measures in inventory problems
• Adjustable robust solutions of uncertain linear programs
• Dynamic coherent risk measures
• Coherent Measures of Risk
• A Robust Optimization Approach to Inventory Theory
• Lectures on Stochastic Programming
• Robust Control of Markov Decision Processes with Uncertain Transition Matrices
• Optimization of Convex Risk Functions
• Conditional Risk Mappings
• Robust Dynamic Programming
• Stochastic finance. An introduction in discrete time

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