Continuous-Time Robust Dynamic Programming

Robust Dual Dynamic Programming

Multi-stage robust optimization problems, where the decision maker can dynamically react to consecutively observed realizations of the uncertain problem parameters, pose formidable theoretical and computational challenges. As a result, the existing solution approaches for this problem class typically determine suboptimal solutions under restrictive assumptions. In this paper, we propose a robus...

Competitive Robust Dynamic Pricing in Continuous Time with Fixed Inventories

Abstract: The problem of robust dynamic pricing of an abstract commodity, whose inventory is specified at an initial time but never subsequently replenished, originally studied by Perakis and Sood (2006) in discrete time, is considered from the perspective of continuous time. We use a multiplicative demand function to model the uncertain demand, and develop a robust counterpart to replace the u...

Countable-State, Continuous-Time Dynamic Programming with Structure

Robust dynamic programming via multi-parametric programming

In this work, we present a new algorithm for solving complex multi-stage optimisation problems involving hard constraints and uncertainties, based on dynamic and multi-parametric programming. Each echelon of the dynamic programming procedure, typically employed in the context of multi-stage optimisation models, is interpreted as a robust multi-parametric optimisation problem, with the present s...

Robust Parsing Using Dynamic Programming