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|Title:||Robust optimization made easy with ROME|
|Authors:||Goh, J. |
|Keywords:||Algebraic modeling toolbox|
|Source:||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|
|Appears in Collections:||Staff Publications|
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