A dynamic programming approach to adjustable robust optimization |
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| Authors: | Alexander Shapiro |
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| Institution: | School of Industrial & Systems Engineering, Georgia Institute of Technology, 765 Ferst Drive, Atlanta, GA 30332, United States |
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| Abstract: | 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 inventory model and show that, like for the risk neutral case, a basestock policy is optimal. |
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| Keywords: | Robust optimization Adjustable variables Policy Dynamic equations Coherent risk measures Inventory model |
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