SPAR: stochastic programming with adversarial recourse

Authors:
Matthew D. Bailey;Steven M. Shechter;Andrew J. Schaefer
Affiliations:
Department of Industrial Engineering, University of Pittsburgh, Pittsburgh, PA 15261, USA;Department of Industrial Engineering, University of Pittsburgh, Pittsburgh, PA 15261, USA;Department of Industrial Engineering, University of Pittsburgh, Pittsburgh, PA 15261, USA
Venue:
Operations Research Letters
Year:
2006

Citing 3
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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.