Structural properties of a class of robust inventory and queueing control problems
研究了当事件概率不确定时，鲁棒动态规划中库存与排队控制问题的最优策略结构，发现某些单调性仍成立且最优策略由阈值决定。
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.© 2017 Wiley Periodicals, Inc. Naval Research Logistics 65: 699–716, 2018