Adaptive Distributionally Robust Optimization

We develop a modular and tractable framework for solving an adaptive distributionally robust linear optimization problem, where we minimize the worst-case expected cost over an ambiguity set of probability distributions. The adaptive distributionally robust optimization framework caters for dynamic...

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Bibliographic Details
Published in:	Management science Vol. 65; no. 2; pp. 604 - 618
Main Authors:	Bertsimas, Dimitris, Sim, Melvyn, Zhang, Meilin
Format:	Journal Article
Language:	English
Published:	Linthicum INFORMS 01.02.2019 Institute for Operations Research and the Management Sciences
Subjects:	Ambiguity Analysis Approximation Decision making dynamic programming hospitals Inventory control linear programming Management decisions Management development programmes Management science Mathematical optimization nonlinear programming Optimization Optimization algorithms Problem solving quadratic Quality of care Random variables Stochastic programming Uncertainty United States
ISSN:	0025-1909, 1526-5501
Online Access:	Get full text
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