Robust Optimization Made Easy with ROME

We introduce an algebraic modeling language, named ROME, for a class of robust optimizationproblems. ROME serves as an intermediate layer between the modeler and optimization solverengines, allowing modelers to express robust optimization problems in a mathematically meaningfulway. In this paper, we highlight key features of ROME which expediates the modeling and subsequentnumerical 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 selectionproblem using ROME. ROME is freely distributed for academic use from www.robustopt.com. ∗NUS Business School, University of Singapore. Email: [email protected]†NUS Business School and NUS Risk Management Institute, National University of Singapore. Email: [email protected]. The research of the author is supported by Singapore-MIT Alliance and NUS academic research grantR-314-000-068-122.