Title	Robust Dual Dynamic Programming
Creator	Georghiou, Angelos
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2018-03-07T10:39
Description	We propose a Robust Dual Dynamic Programming (RDDP) scheme for multi-stage robust optimization problems. The RDDP scheme takes advantage of the decomposable nature of these problems by bounding the costs arising in the future stages through inner and outer approximations. In contrast to Stochastic Dual Dynamic Programming, we refine the approximations using as a devise our inner approximations to determine the points of refinement. We prove that RDDP converges deterministically in finite time. We demonstrate the promising performance of our algorithm in stylized instances of inventory management problems.
Extent	33 minutes
Subject	Mathematics; Operations research, mathematical programming; Probability theory and stochastic processes; Operation research
Type	Moving Image
File Format	video/mp4
Language	eng
Notes	Author affiliation: Desautels - McGill University
Series	BIRS Workshop Lecture Videos (Banff, Alta)
Date Available	2018-09-04
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivatives 4.0 International
DOI	10.14288/1.0371896
URI	http://hdl.handle.net/2429/67080
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Researcher
Rights URI	http://creativecommons.org/licenses/by-nc-nd/4.0/
Aggregated Source Repository	DSpace

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