Robust Optimization Made Easy with ROME

• 成果类型: Article
• 署名作者: Goh, Joel; Sim, Melvyn
• 署名单位: National University of Singapore; National University of Singapore
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.1110.0944
• 发表日期: 2011
• 页码: 973-985
• 关键词: Approximation; uncertainty; optimality; policies; SYSTEM

摘要

We introduce ROME, an algebraic modeling toolbox for a class of robust optimization problems. ROME serves as an intermediate layer between the modeler and optimization solver engines, allowing modelers to express robust optimization problems in a mathematically meaningful way. In this paper, we discuss how ROME can be used to model (1) a service-constrained robust inventory management problem, (2) a project-crashing problem, and (3) a robust portfolio optimization problem. Through these modeling examples, we highlight the key features of ROME that allow it to expedite the modeling and subsequent numerical analysis of robust optimization problems. ROME is freely distributed for academic use at http://www.robustopt.com.