Publications
Publications
- July–August 2011
- Operations Research
Robust Optimization Made Easy with ROME
By: Joel Goh and Melvyn Sim
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 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.
Keywords
Robust Optimization; Algebraic Modeling Toolbox; MATLAB; Stochastic Programming; Decision Rules; Inventory Control; PERT; Project Management; Portfolio Optimization; Information Technology; Mathematical Methods; Operations
Citation
Goh, Joel, and Melvyn Sim. "Robust Optimization Made Easy with ROME." Operations Research 59, no. 4 (July–August 2011): 973–985.