A dynamic programming approach to adjustable robust optimization

Authors:
Alexander Shapiro
Affiliations:
-
Venue:
Operations Research Letters
Year:
2011

Citing 8
Cited 0

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Robust Dynamic Programming

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Risk-averse dynamic programming for Markov decision processes

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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.