| Article ID: | iaor20133235 |
| Volume: | 39 |
| Issue: | 2 |
| Start Page Number: | 83 |
| End Page Number: | 87 |
| Publication Date: | Mar 2011 |
| Journal: | Operations Research Letters |
| Authors: | Shapiro Alexander |
| Keywords: | inventory |
In this paper we consider the adjustable robust approach to multistage optimization, for which we derive dynamic programming equations. We also discuss this from the point of view of risk averse stochastic programming. We consider as an example a robust formulation of the classical inventory model and show that, like for the risk neutral case, a basestock policy is optimal.