Name
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. |
Year | DOI | Venue |
|---|---|---|
2011 | 10.1287/opre.1110.0944 | Operations Research |
Keywords | Field | DocType |
modeling example,robust optimization,service-constrained robust inventory management,key feature,robust portfolio optimization problem,algebraic modeling toolbox,optimization solver engine,project-crashing problem,academic use,robust optimization problem,intermediate layer,inventory control,pert,stochastic programming,project management,portfolio optimization,decision rules,operations | Mathematical optimization,Probabilistic-based design optimization,Robust optimization,Computer science,Multi-objective optimization,Portfolio optimization,Solver,Engineering optimization,Stochastic programming,Optimization problem | Journal |
Volume | Issue | ISSN |
59 | 4 | 0030-364X |
Citations | PageRank | References |
31 | 1.57 | 23 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Joel Goh | 1 | 164 | 9.07 |
| Melvyn Sim | 2 | 1909 | 117.68 |