This is an example of a multi-stage robust optimization problem using linear decision rules. The specific derivation process is omitted, please refer to the reference for details. The Python implementation is given directly.
- Ben-Tal, Aharon, Alexander Goryashko, Elana Guslitzer, and Arkadi Nemirovski. 2004. Adjustable robust solutions of uncertain linear programs. Mathematical Programming 99(2) 351-376.
- https://xiongpengnus.github.io/rsome/example_ro_inv#ref1
- https://zhuanlan.zhihu.com/p/621489179