Publication:
Structural properties of a class of robust inventory and queueing control problems

Thumbnail Image

School / College / Institute

Organizational Unit

Program

KU Authors

Co-Authors

Publication Date

Language

Embargo Status

NO

Journal Title

Journal ISSN

Volume Title

Alternative Title

Abstract

In standard stochastic dynamic programming, the transition probability distributions of the underlying Markov Chains are assumed to be known with certainty. We focus on the case where the transition probabilities or other input data are uncertain. Robust dynamic programming addresses this problem by defining a min-max game between Nature and the controller. Considering examples from inventory and queueing control, we examine the structure of the optimal policy in such robust dynamic programs when event probabilities are uncertain. We identify the cases where certain monotonicity results still hold and the form of the optimal policy is determined by a threshold. We also investigate the marginal value of time and the case of uncertain rewards.

Source

Publisher

Wiley

Subject

Operations research and management science

Citation

Has Part

Source

Naval Research Logistics

Book Series Title

Edition

DOI

10.1002/nav.21748

item.page.datauri

Link

Rights

Copyrights Note

Endorsement

Review

Supplemented By

Referenced By

1

Views

9

Downloads

View PlumX Details