Optimization Online


Robust Optimization Made Easy with ROME

Joel Goh (joelgoh***at***nus.edu.sg)
Melvyn Sim (melvynsim***at***nus.edu.sg)

Abstract: We introduce an algebraic modeling language, named ROME, 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 highlight key features of ROME which expediates the modeling and subsequent numerical analysis of such problems. We conclude with two comprehensive examples on how to model (1) a service-constrained robust inventory management problem, and (2) a robust portfolio selection problem using ROME. ROME is freely distributed for academic use from www.robustopt.com.

Keywords: Robust Optimization, algebraic modeling language

Category 1: Robust Optimization

Category 2: Optimization Software and Modeling Systems (Modeling Languages and Systems )

Citation: Working paper, NUS Business School, 2009

Download: [PDF]

Entry Submitted: 07/29/2009
Entry Accepted: 07/29/2009
Entry Last Modified: 08/04/2009

Modify/Update this entry

  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository


Coordinator's Board
Classification Scheme
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Programming Society