Optimality of affine policies in multi-stage robust optimization

Dimitris Bertsimas, Dan Andrei Iancu, Pablo A. Parrilo. Optimality of affine policies in multi-stage robust optimization. In Proceedings of the 48th IEEE Conference on Decision and Control, CDC 2009, combined withe the 28th Chinese Control Conference, December 16-18, 2009, Shanghai, China. pages 1131-1138, IEEE, 2009. [doi]

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