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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Vydané v:	Management science Ročník 65; číslo 2; s. 604 - 618
Hlavní autori:	Bertsimas, Dimitris, Sim, Melvyn, Zhang, Meilin
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Linthicum INFORMS 01.02.2019 Institute for Operations Research and the Management Sciences
Predmet:	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
On-line prístup:	Získať plný text
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