Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142735 | Operations Research Letters | 2011 | 5 Pages |
Abstract
In this paper we consider the adjustable robust approach to multistage optimization, for which we derive dynamic programming equations. We also discuss this from the point of view of risk averse stochastic programming. We consider as an example a robust formulation of the classical inventory model and show that, like for the risk neutral case, a basestock policy is optimal.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Alexander Shapiro,