Supermodularity and Affine Policies in Dynamic Robust Optimization

Two classical approaches to dynamic robust optimization rarely meet: dynamic programming, which is exact but intractable, and simple decision rules, which are tractable but usually approximate. We give conditions — uncertainty sets that are integer sublattices of the unit hypercube, plus a technical condition — under which affine decision rules are exactly optimal, bridging the two.

Operations Research, vol. 61, no. 4, pp. 941–956