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On the power and limitations of affine policies in two-stage adaptive optimization · Study

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ArticleOn the power and limitations of affine policies in two-stage adaptive optimization

Dimitris Bertsimas2011

Article2011

On the power and limitations of affine policies in two-stage adaptive optimization

Dimitris Bertsimas · Vineet Goyal

182 citations·0/0 files stored·Mathematical Programming

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Risk and Portfolio Optimization Complexity and Algorithms in Graphs Advanced Optimization Algorithms Research

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References

2004Adjustable robust solutions of uncertain linear programs 2004Adjustable robust solutions of uncertain linear programs 2007Selected topics in robust convex optimization 2009Primal and dual linear decision rules in stochastic and robust optimization 2010Optimality of Affine Policies in Multistage Robust Optimization 2006Extending Scope of Robust Optimization: Comprehensive Robust Counterparts of Uncertain Problems

Cited by

2014Generalized decision rule approximations for stochastic programming via liftings 2018Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity 2016Multistage Robust Mixed-Integer Optimization with Adaptive Partitions 2015Design of Near Optimal Decision Rules in Multistage Adaptive Mixed-Integer Optimization 2018Adjustable Robust Optimization via Fourier–Motzkin Elimination 2010On the Power of Robust Solutions in Two-Stage Stochastic and Adaptive Optimization Problems 2013Supermodularity and Affine Policies in Dynamic Robust Optimization

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2013Supermodularity and Affine Policies in Dynamic Robust Optimizationarticle · 5 shared references 2014On the performance of affine policies for two-stage adaptive optimization: a geometric perspectivearticle · 5 shared references 2014Generalized decision rule approximations for stochastic programming via liftingsarticle · 4 shared references 2013Pareto Efficiency in Robust Optimizationarticle · 4 shared references 2015Design of Near Optimal Decision Rules in Multistage Adaptive Mixed-Integer Optimizationarticle · 4 shared references 2016Multistage Adjustable Robust Mixed-Integer Optimization via Iterative Splitting of the Uncertainty Setarticle · 4 shared references

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Year2011

Typearticle

Published2011-02-25

VenueMathematical Programming

ISSN-L0025-5610

Languageen

Citations182

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ShelfRisk and Portfolio Optimization

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doi10.1007/s10107-011-0444-4

openalex_workW2107968842

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2016

On the relation between flexibility analysis and robust optimization for linear systems