Treffer: Discrete Convexity and Dynamic Robust Optimization
Title:
Discrete Convexity and Dynamic Robust Optimization
Authors:
Publisher Information:
Banff International Research Station for Mathematical Innovation and Discovery
Publication Year:
2018
Collection:
University of British Columbia: cIRcle - UBC's Information Repository
Subject Terms:
Subject Geographic:
Document Type:
Video
moving image (video)
File Description:
35 minutes; video/mp4
Language:
English
Relation:
18w5102: Distributionally Robust Optimization; BIRS Workshop Lecture Videos (Banff, Alta); BIRS-VIDEO-201803061736-Iancu; BIRS-VIDEO-18w5102-26179; http://hdl.handle.net/2429/67078
Availability:
Rights:
Attribution-NonCommercial-NoDerivatives 4.0 International ; http://creativecommons.org/licenses/by-nc-nd/4.0/
Accession Number:
edsbas.E9A837E
Database:
BASE
Weitere Informationen
We discuss necessary and sufficient conditions for the optimality of specific classes of policies in dynamic robust optimization. We then focus on the specific case of affine policies, and show how our conditions can be used to recover and generalize several existing results in the literature. Our treatment draws interesting connections with the theory of discrete convexity (L-natural / M-natural convexity and multimodularity) and global concave envelopes, which may be of independent interest. Time permitting, we also discuss some related applications of the results in the context of a learning and stopping problem. This is joint work with Yehua Wei. ; Non UBC ; Unreviewed ; Author affiliation: Stanford University ; Researcher