Optimality of Affine Policies in Multistage Robust Optimization.
Dimitris BertsimasDan Andrei IancuPablo A. ParriloPublished in: Math. Oper. Res. (2010)
Keyphrases
- multistage
- robust optimization
- lot sizing
- average cost
- stochastic programming
- optimal policy
- chance constrained
- stochastic optimization
- single stage
- max min
- inventory management
- mathematical programming
- multi item
- portfolio selection
- dynamic programming
- single item
- markov decision process
- decision theory
- markov decision processes
- finite horizon
- optimal solution
- robust counterpart
- decision problems
- production planning
- chance constraints
- reinforcement learning
- long run
- state space
- infinite horizon
- lost sales
- theoretical framework
- sufficient conditions
- scheduling problem
- evolutionary algorithm
- data mining