A dynamic programming approach to adjustable robust optimization

Operations Research Letters

Volumn 39, Issue 2, 2011, Pages 83-87

  Shapiro, Alexander ^a  

^a Georgia Institute of Technology   (United States)

Author keywords

Adjustable variables; Coherent risk measures; Dynamic equations; Inventory model; Policy; Robust optimization

Indexed keywords

ADJUSTABLE VARIABLES; COHERENT RISK MEASURES; DYNAMIC EQUATIONS; INVENTORY MODEL; POLICY; ROBUST OPTIMIZATION;

INVENTORY CONTROL; OPTIMIZATION; RISK ASSESSMENT;

DYNAMIC PROGRAMMING;

EID: 79953058614     PISSN: 01676377     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.orl.2011.01.001     Document Type: Article

References (19)

1. S. Ahmed, U. Cakmak, and A. Shapiro Coherent risk measures in inventory problems European Journal of Operational Research 182 2007 226 238 (Pubitemid 46561149)
2. P. Artzner, F. Delbaen, J.-M. Eber, and D. Heath Coherent measures of risk Mathematical Finance 9 1999 203 228
3. A. Ben-Tal, A. Goryashko, A. Guslitzer, and A. Nemirovski Adjustable robust solutions of uncertain linear programs Mathematical Programming 99 2004 351 376 (Pubitemid 40871727)
4. A. Ben-Tal, B. Golany, A. Nemirovski, and J.P. Vial Retailersupplier flexible commitments contracts: a robust optimization approach Manufacturing & Service Operations Management 7 2005 248 271 (Pubitemid 41365608)
5. A. Ben-Tal, L. El Ghaoui, and A. Nemirovski Robust Optimization 2009 Princeton University Press Princeton
6. D. Bertsimas, and A. Thiele A robust optimization approach to inventory theory Operations Research 54 2006 150 168
7. H. Fllmer, A. Schield, Stochastic Finance: An Introduction In Discrete Time, in: De Gruyter Studies in Mathematics, 2nd ed., Berlin, 2004.
8. M. Fritelli, and E. Rosazza Gianin Dynamic convex risk measures G. Szeg, Risk Measures for the 21st Century 2004 Wiley Chichester 227 248
9. G.N. Iyengar Robust dynamic programming Mathematics of Operations Research 30 2005 257 280 (Pubitemid 43126832)
10. A. Nilim, and L. El Ghaoui Robust control of Markov decision processes with uncertain transition matrices Operations Research 53 2005 780 798 (Pubitemid 41525849)
11. G.Ch. Pflug, and W. Rmisch Modeling, Measuring and Managing Risk 2007 World Scientific Singapore
12. G.Ch. Pflug, W. Rmisch, The role of information in multi-period risk measurement, SPEPS, 2009.
13. F. Riedel Dynamic coherent risk measures Stochastic Processes and Their Applications 112 2004 185 200 (Pubitemid 38972121)
14. R.T. Rockafellar, and S. Uryasev Optimization of conditional value at risk The Journal of Risk 2 2000 21 41
15. A. Ruszczyski, and A. Shapiro Optimization of convex risk functions Mathematics of Operations Research 31 2006 433 452 (Pubitemid 44343602)
16. A. Ruszczyski, and A. Shapiro Conditional risk mappings Mathematics of Operations Research 31 2006 544 561 (Pubitemid 44343608)
17. A. Ruszczyski Risk-averse dynamic programming for Markov decision processes Mathematical Programming, Ser. B 125 2010 235 261
18. A. Shapiro, D. Dentcheva, and A. Ruszczyski Lectures on Stochastic Programming: Modeling and Theory 2009 SIAM Philadelphia
19. P.H. Zipkin Foundations of Inventory Management 2000 McGraw-Hill