ROC++: Robust Optimization in C++

Over the last two decades, robust optimization has emerged as a popular means to address decision-making problems affected by uncertainty. This includes single-stage and multi-stage problems involving real-valued and/or binary decisions and affected by exogenous (decision-independent) and/or endogenous (decision-dependent) uncertain parameters. Robust optimization techniques rely on duality theory potentially augmented with approximations to transform a (semi-)infinite optimization problem to a finite program, the robust counterpart . Whereas writing down the model for a robust optimization problem is usually a simple task, obtaining the robust counterpart requires expertise. To date, very few solutions are available that can facilitate the modeling and solution of such problems. This has been a major impediment to their being put to practical use. In this paper, we propose ROC++, an open-source C++ based platform for automatic robust optimization, applicable to a wide array of single-stage and multi-stage robust problems with both exogenous and endogenous uncertain parameters, that is easy to both use and extend. It also applies to certain classes of stochastic programs involving continuously distributed uncertain parameters and endogenous uncertainty. Our platform naturally extends existing off-the-shelf deterministic optimization platforms and offers ROPy, a Python interface in the form of a callable library, and the ROB file format for storing and sharing robust problems. We showcase the modeling power of ROC++ on several decision-making problems of practical interest. Our platform can help streamline the modeling and solution of stochastic and robust optimization problems for both researchers and practitioners. It comes with detailed documentation to facilitate its use and expansion. The latest version of ROC++ can be downloaded from https://sites.google.com/usc.edu/robust-opt-cpp/ . Summary of Contribution: The paper “ROC++: Robust Optimization in C++” proposes a new open-source C++ based platform for modeling, automatically reformulating, and solving robust optimization problems. ROC++ can address both single-stage and multi-stage problems involving exogenous and/or endogenous uncertain parameters and real- and/or binary-valued adaptive variables. The ROC++ modeling language is similar to the one provided for the deterministic case by state-of-the-art deterministic optimization solvers. ROC++ comes with detailed documentation to facilitate its use and expansion. It also offers ROPy, a Python interface in the form of a callable library. The latest version of ROC++ can be downloaded from https://sites.google.com/usc.edu/robust-opt-cpp/ .