Please use this identifier to cite or link to this item: https://doi.org/10.1287/opre.1110.0944
Title: Robust optimization made easy with ROME
Authors: Goh, J. 
Sim, M. 
Keywords: Algebraic modeling toolbox
Decision rules
Inventory control
MATLAB
PERT
Portfolio optimization
Project management
Robust optimization
Stochastic programming
Issue Date: 2011
Citation: Goh, J., Sim, M. (2011). Robust optimization made easy with ROME. Operations Research 59 (4) : 973-985. ScholarBank@NUS Repository. https://doi.org/10.1287/opre.1110.0944
Abstract: 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 serviceconstrained 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. © 2011 INFORMS.
Source Title: Operations Research
URI: http://scholarbank.nus.edu.sg/handle/10635/44008
ISSN: 0030364X
DOI: 10.1287/opre.1110.0944
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