Robust Multi-stage Decision Making

Decisions under uncertainty often unfold over time, so a useful plan must preserve the ability to adapt as new information arrives. This tutorial provides a unified view of robust multistage decision-making: the distinction between static, fully adaptive, and partially adjustable decisions; why exact solutions become intractable; connections with robust dynamic programming; when simple policies can work well or even be optimal; how time-consistency problems arise; and how the framework is used in applications.

TutORials in Operations Research: The Operations Research Revolution, pp. 20–46, INFORMS