Joel Goh

Robust Optimization Made Easy with ROME

  • Joel Goh
  • Melvyn Sim
    • Categories Modeling Languages and Systems, Robust Optimization Tags ,

    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 … Read more

    Distributionally Robust Optimization and its Tractable Approximations

  • Joel Goh
  • Melvyn Sim
    • Categories Robust Optimization Tags ,

    In this paper, we focus on a linear optimization problem with uncertainties, having expectations in the objective and in the set of constraints. We present a modular framework to obtain an approximate solution to the problem that is distributionally robust, and more flexible than the standard technique of using linear rules. Our framework begins by … Read more