A Geometric Characterization of the Power of Finite Adaptability in Multistage Stochastic and Adaptive Optimization
Published Online:1 Feb 2011https://doi.org/10.1287/moor.1110.0482
References
- On minimizing a convex function subject to linear inequalities. J. Roy. Statist. Soc. Ser. B (Methodological) (1955) 17(2):173–184Google Scholar
- On the symmetry function of a convex set. Math. Programming (2007) 111(1):57–93Crossref, Google Scholar
- Min-max control of constrained uncertain discrete-time linear systems. IEEE Trans. Automatic Control (2003) 48(9):1600–1606Crossref, Google Scholar
- Robust convex optimization. Math. Oper. Res. (1998) 23(4):769–805Link, Google Scholar
- Robust solutions of uncertain linear programs. Oper. Res. Lett. (1999) 25(1):1–14Crossref, Google Scholar
- Robust optimization—Methodology and applications. Math. Programming (2002) 92(3):453–480Crossref, Google Scholar
- Robust Optimization (2009) (Princeton University Press, Princeton, NJ) Crossref, Google Scholar
- Adjustable robust solutions of uncertain linear programs. Math. Programming (2004) 99(2):351–376Crossref, Google Scholar
- Finite adaptability in multistage linear optimization. IEEE Trans. Automatic Control (2010) 55(12):2751–2766Crossref, Google Scholar
- On the power of robust solutions in two-stage stochastic and adaptive optimization problems. Math. Oper. Res. (2010) 35(2):284–305Link, Google Scholar
- Robust discrete optimization and network flows. Math. Programming Ser. B (2003) 98(1–3):49–71Crossref, Google Scholar
- The price of robustness. Oper. Res. (2004) 52(2):35–53Link, Google Scholar
- Theory and applications of robust optimization. SIAM Rev. (2010) . ForthcomingGoogle Scholar
- Optimality of affine policies in multistage robust optimization. Math. Oper. Res. (2010) 35(2):363–394Link, Google Scholar
- Linear programming under uncertainty. Management Sci. (1955) 1(3–4):197–206Link, Google Scholar
- Computational complexity of stochastic programming problems. Math. Programming (2006) 106(3):423–432Crossref, Google Scholar
- Robust solutions to least-squares problems with uncertain data. SIAM J. Matrix Anal. Appl. (1997) 18(4):1035–1064Crossref, Google Scholar
- On decision rules in stochastic programming. Math. Programming (1974) 7(1):117–143Crossref, Google Scholar
- Robust portfolio selection problems. Math. Oper. Res. (2003) 28(1):1–38Link, Google Scholar
- Boosted sampling: Approximation algorithms for stochastic optimization. Proc. 36th Annual ACM Sympos. Theory Comput. (2004) (ACM, New York) 417–426Crossref, Google Scholar
- What about Wednesday? Approximation algorithms for multistage stochastic optimization. Lecture Notes in Computer Science (2005) (Springer, Berlin) 86–98Crossref, Google Scholar
- Planning Under Uncertainty: Solving Large-Scale Stochastic Linear Programs (1994) (Boyd & Fraser Pub. Co., San Francisco) Google Scholar
- Extremum problems with inequalities as subsidiary conditions. Studies Essays (1948) January 8(Interscience Publishers, Inc., New York) 187–204[Presented to R. Courant on his 60th Birthday.]Google Scholar
- Stochastic Programming (1994) (John Wiley & Sons, New York) Google Scholar
- Allgemeine Lehrsätze über die konvexen Polyeder, Nachr. Gesellschaft Wiss. Göttingen. Math.-Phys. Kl. 1897 (1897) 198–219[Reprinted in: Gesammelte Abhandlungen, Vol. 2, pp. 103–121. Teubner, Leipzig 1911; reprint Chelsea, New York, 1967.]Google Scholar
- Stochastic Programming (1995) (Kluwer, Dordrecht, The Netherlands) Crossref, Google Scholar
- The optimal recourse problem in discrete time: L1-multipliers for inequality constraints. SIAM J. Control Optim. (1978) 16(1):16–36Crossref, Google Scholar
- Stochastic programming approach to optimization under uncertainty. Math. Programming, Ser. B (2008) 112(1):183–220Crossref, Google Scholar
- , Jeyakumar V., Rubinov A. M. On complexity of stochastic programming problems. Continuous Optimization: Current Trends and Applications (2005) (Springer, Berlin) 111–144Crossref, Google Scholar
- Lectures on Stochastic Programming: Modeling and Theory (2009a) (Society for Industrial and Applied Mathematics, Philadelphia) Crossref, Google Scholar
- Lectures on Stochastic Programming: Modeling and Theory (2009b) (Society for Industrial and Applied Mathematics, Philadelphia) Crossref, Google Scholar
- Stochastic optimization is (almost) as easy as deterministic optimization. Proc. 45th Annual Sympos. Foundations Comput. Sci. (2004) 228–237Crossref, Google Scholar
- Sampling-based approximation algorithms for multistage stochastic optimization. Proc. 46th Annual IEEE Sympos. Foundations Comput. Sci. (2005) Pittsburgh:357–366Crossref, Google Scholar

