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Dynamic Robust Optimization: Optimality, Degeneracy and Simplicity

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Kein Logo verfügbarBanff International Research Station (BIRS) for Mathematical Innovation and Discovery
 Iancu, Dan

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Titel
Dynamic Robust Optimization: Optimality, Degeneracy and Simplicity
Alternativer Titel
Discrete Convexity and Dynamic Robust Optimization
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Anzahl der Teile
39
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Herausgeber
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Abstract
We discuss necessary and sufficient conditions for the optimality of specific classes of policies in dynamic robust optimization. We then focus on the specific case of affine policies, and show how our conditions can be used to recover and generalize several existing results in the literature. Our treatment draws interesting connections with the theory of discrete convexity (L-natural / M-natural convexity and multimodularity) and global concave envelopes, which may be of independent interest. Time permitting, we also discuss some related applications of the results in the context of a learning and stopping problem.
Distributionally Robust Optimization (18w5102)18 / 39
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From Data to Decisions: Distributionally Robust Optimization is Optimal
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Measuring the Value of Randomized Solutions in Distributionally Robust Optimization
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Risk and Complexity in Scenario Optimization
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On the Power of Affine Policies in Dynamic Optimization
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Satisficing Models to Mitigate Uncertainty
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Is DRO the Only Approach for Optimization Problems with Convex Uncertainty?
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Robust Dual Dynamic Programming
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Practicable Robust Markov Decision Processes
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Nonparametric Distributional Robustness in Multistage Stochastic Optimization
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Dynamic Robust Optimization: Optimality, Degeneracy and Simplicity
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The Wasserstein Kantorovich metric and distributionally robust vehicle routing
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Decomposition Methods For Solving Distributionally Robust Programs
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From Data to Decisions
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Worst-Case Law Invariant Risk Measures and Distributions: The Case of Nonlinear DRO
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Quantitative Stability Analysis in Distributionally Robust Optimization
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Tractable Format for Distributionally Robust Optimization
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Robust Multiclass Queuing Theory for Wait Time Estimation in Resource Allocation Systems
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Inventory Routing under Uncertainty