Optimality of affine policies in multi-stage robust optimization.
Dimitris BertsimasDan Andrei IancuPablo A. ParriloPublished in: CDC (2009)
Keyphrases
- multistage
- robust optimization
- lot sizing
- average cost
- optimal policy
- stochastic programming
- stochastic optimization
- chance constrained
- dynamic programming
- production system
- inventory management
- mathematical programming
- single stage
- max min
- finite horizon
- multi item
- decision problems
- long run
- holding cost
- state space
- markov decision processes
- infinite horizon
- setup cost
- semidefinite programming
- optimal solution
- reinforcement learning
- machine learning
- sufficient conditions