Article ID: | iaor20113638 |
Volume: | 36 |
Issue: | 1 |
Start Page Number: | 24 |
End Page Number: | 54 |
Publication Date: | Feb 2011 |
Journal: | Mathematics of Operations Research |
Authors: | Bertsimas Dimitris, Goyal Vineet, Sun Xu Andy |
Keywords: | programming: probabilistic, programming: integer |
In this paper, we show a significant role that geometric properties of uncertainty sets, such as symmetry, play in determining the power of robust and finitely adaptable solutions in multistage stochastic and adaptive optimization problems. We consider a fairly general class of multistage mixed integer stochastic and adaptive optimization problems and propose a good approximate solution policy with performance guarantees that depend on the geometric properties of the uncertainty sets. In particular, we show that a class of