Adaptive Relaxations for Multistage Robust Optimization.
Michael HartischPublished in: PRICAI (1) (2021)
Keyphrases
- multistage
- robust optimization
- stochastic programming
- lot sizing
- stochastic optimization
- chance constrained
- single stage
- robust counterpart
- mathematical programming
- dynamic programming
- lower bound
- inventory management
- max min
- risk measures
- portfolio selection
- linear programming
- semidefinite programming
- mixed integer programming
- linear program
- optimal policy
- chance constraints