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SPAR: stochastic programming with adversarial recourse |
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| Authors: | Matthew D. Bailey Steven M. Shechter Andrew J. Schaefer |
| Affiliation: | Department of Industrial Engineering, University of Pittsburgh, Pittsburgh, PA 15261, USA |
| Abstract: | We consider a general adversarial stochastic optimization model. Our model involves the design of a system that an adversary may subsequently attempt to destroy or degrade. We introduce SPAR, which utilizes mixed-integer programming for the design decision and a Markov decision process (MDP) for the modeling of our adversarial phase. |
| Keywords: | Stochastic programming Markov decision processes Network interdiction Game theory |
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