Adaptive Distributionally Robust Optimization

• 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; Random variables; Stochastic programming; Uncertainty; United States

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...