Optimality of Affine Policies in Multi-stage Robust Optimization
In this paper, we prove the optimality of disturbance-affine control policies in the context of one-dimensional, constrained, multistage robust optimization. Our results cover the finite-horizon case, with minimax (worst-case) objective, and convex state costs plus linear control costs. We develop a...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Institute for Operations Research and the Management Sciences
2011
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| Online Access: | http://hdl.handle.net/1721.1/65896 https://orcid.org/0000-0002-1985-1003 https://orcid.org/0000-0003-1132-8477 |