A dynamic programming approach to adjustable robust optimization.
Alexander ShapiroPublished in: Oper. Res. Lett. (2011)
Keyphrases
- robust optimization
- dynamic programming
- robust counterpart
- chance constrained
- mathematical programming
- stochastic programming
- portfolio optimization
- lot sizing
- risk measures
- linear programming
- multistage
- decision theory
- semidefinite programming
- state space
- knapsack problem
- reinforcement learning
- infinite horizon
- greedy algorithm
- high dimensional
- chance constraints
- pairwise