Browsing MIT Open Access Articles by Author "Iancu, Dan Andrei"

Now showing items 1-3 of 3

    • A hierarchy of policies for adaptive optimization 

      Iancu, Dan Andrei; Parrilo, Pablo A.; Bertsimas, Dimitris J (Institute of Electrical and Electronics Engineers (IEEE), 2011-08)
      In this paper, we propose a new tractable framework for dealing with linear dynamical systems affected by uncertainty, applicable to multistage robust optimization and stochastic programming. We introduce a hierarchy of ...

    • Monitoring with Limited Information 

      Iancu, Dan Andrei; Trichakis, Nikolaos; Yoon, Do Young (Institute for Operations Research and the Management Sciences (INFORMS), 2020-10)
      We consider a system with an evolving state that can be stopped at any time by a decision maker (DM), yielding a state-dependent reward. The DM does not observe the state except for a limited number of monitoring times, ...

    • Optimality of Affine Policies in Multi-stage Robust Optimization 

      Bertsimas, Dimitris J.; Iancu, Dan Andrei; Parillo, Pablo A. (Institute for Operations Research and the Management Sciences, 2010-05)
      In this paper, we prove the optimality of disturbance-affine control policies in the context of one-dimensional, constrained, multistage robust optimization. Our results cover the finite-horizon case, with minimax (worst-case) ...