SPAR: stochastic programming with adversarial recourse

We consider a general adversarial stochastic optimization model. Our model involves the design of a system that an adversary may subsequently attempt to destroy or degrade. We introduce SPAR, which utilizes mixed-integer programming for the design decision and a Markov decision process (MDP) for the modeling of our adversarial phase.

• Type: Journal
• Year: 2006
• Where: ORL
• Authors: Matthew D. Bailey, Steven M. Shechter, Andrew J. Schaefer
• Keywords: Adversarial Stochastic Optimization, Markov Decision Process, Mixed-integer Programming, ORL 2006