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.
Citation
Working paper, NUS Business School, 2009