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Robust Optimization Made Easy with ROME

Author

Listed:
  • Joel Goh

    (Stanford Graduate School of Business; NUS Business School, National University of Singapore, Singapore 119245, Republic of Singapore)

  • Melvyn Sim

    (NUS Business School and NUS Risk Management Institute, National University of Singapore, Singapore 119245, Republic of Singapore)

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.

Suggested Citation

  • Joel Goh & Melvyn Sim, 2011. "Robust Optimization Made Easy with ROME," Operations Research, INFORMS, vol. 59(4), pages 973-985, August.
    • Handle: RePEc:inm:oropre:v:59:y:2011:i:4:p:973-985
    DOI: 10.1287/opre.1110.0944
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    References listed on IDEAS

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