Optimality of Affine Policies in Multi-stage Robust Optimization

Optimality of Affine Policies in Multi-stage Robust Optimization

In this paper, we prove the optimality of disturbance-affine control policies in the context of one-dimensional, constrained, multistage robust optimization. Our results cover the finite-horizon case, with minimax (worst-case) objective, and convex state costs plus linear control costs. We develop a...

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Bibliographic Details
Main Authors: Bertsimas, Dimitris J. (Contributor), Iancu, Dan Andrei (Contributor), Parillo, Pablo A. (Author)
Other Authors: Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science (Contributor), Massachusetts Institute of Technology. Laboratory for Information and Decision Systems (Contributor), Massachusetts Institute of Technology. Operations Research Center (Contributor), Sloan School of Management (Contributor), Parrilo, Pablo A. (Contributor)
Format: Article
Language:English
Published: Institute for Operations Research and the Management Sciences, 2011-09-21T14:56:08Z.
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