ROC++: Robust Optimization in C++

Published Online:https://doi.org/10.1287/ijoc.2022.1209

References

  • Ardestani-Jaafari A, Delage E (2016) Robust optimization of sums of piecewise linear functions with application to inventory problems. Oper. Res. 64(2):474–494.LinkGoogle Scholar
  • Bampou D, Kuhn D (2011) Scenario-free stochastic programming with polynomial decision rules. Proc. 50th IEEE Conf. Decision Control (IEEE, Piscataway, NJ), 7806–7812.Google Scholar
  • Bandi C, Bertsimas D (2012) Tractable stochastic analysis in high dimensions via robust optimization. Math. Program. 134:23–70.CrossrefGoogle Scholar
  • Bandi C, Trichakis N, Vayanos P (2018) Robust multiclass queuing theory for wait time estimation in resource allocation systems. Management Sci. 65(1):152–187.LinkGoogle Scholar
  • Ben-Tal A, El Ghaoui L, Nemirovski A (2009) Robust Optimization, Princeton Series in Applied Mathematics (Princeton University Press, Princeton, NJ).Google Scholar
  • Ben-Tal A, Golany B, Nemirovski A, Vial JP (2005) Retailer-supplier flexible commitments contracts: A robust optimization approach. Manufacturing Service Oper. Management 7(3):248–271.LinkGoogle Scholar
  • Ben-Tal A, Goryashko A, Guslitzer E, Nemirovski A (2004) Adjustable robust solutions of uncertain linear programs. Math. Program. 99(2):351–376.CrossrefGoogle Scholar
  • Bertsimas D, Caramanis C (2010) Finite adaptability for linear optimization. IEEE Trans. Automatic Control 55(12):2751–2766.CrossrefGoogle Scholar
  • Bertsimas D, Dunning I (2016) Multi-stage robust mixed-integer optimization with adaptive partitions. Oper. Res. 64(4):980–998.LinkGoogle Scholar
  • Bertsimas D, Georghiou A (2015) Design of near optimal decision rules in multi-stage adaptive mixed-integer optimization. Oper. Res. 63(3):610–627.LinkGoogle Scholar
  • Bertsimas D, Georghiou A (2018) Binary decision rules for multi-stage adaptive mixed-integer optimization. Math. Program. 167(2):395–433.CrossrefGoogle Scholar
  • Bertsimas D, Vayanos P (2014) Data-driven learning in dynamic pricing using adaptive robust optimization. Preprint, submitted October 11, http://www.optimization-online.org/DB_HTML/2014/10/4595.html.Google Scholar
  • Bertsimas D, Brown D, Caramanis C (2010) Theory and applications of robust optimization. SIAM Rev. 53(3):464–501.CrossrefGoogle Scholar
  • Bertsimas D, Iancu D, Parrilo P (2011) A hierarchy of near-optimal policies for multi-stage adaptive optimization. IEEE Trans. Automatic Control 56(12):2809–2824.CrossrefGoogle Scholar
  • Bertsimas D, Sim M, Zhang M (2019) Adaptive distributionally robust optimization. Management Sci. 65(2):604–618.LinkGoogle Scholar
  • Birge JR, Louveaux F (2000) Introduction to Stochastic Programming, Springer Series in Operational Research and Financial Engineering (Springer, New York).Google Scholar
  • Bodur M, Luedtke JR (2022) Two-stage linear decision rules for multi-stage stochastic programming. Math. Program. 191:347–380.CrossrefGoogle Scholar
  • Campi MC, Garatti S (2008) The exact feasibility of randomized solutions of robust convex programs. SIAM J. Optim. 19(3):1211–1230.CrossrefGoogle Scholar
  • Chen Z, Sim M, Xiong P (2020) Robust stochastic optimization made easy with RSOME. Management Sci. 66(8):3329–3339.LinkGoogle Scholar
  • Colvin M, Maravelias CT (2008) A stochastic programming approach for clinical trial planning in new drug development. Comput. Chem. Engrg. 32(11):2626–2642.CrossrefGoogle Scholar
  • Ding L, Ahmed S, Shapiro A (2019) A Python package for multi-stage stochastic programming. Preprint, submitted May 7, http://www.optimization-online.org/DB_HTML/2019/05/7199.html.Google Scholar
  • Dowson O, Kapelevich L (2021) SDDP.jl: A Julia package for stochastic dual dynamic programming. INFORMS J. Comput. 33(1):27–33.LinkGoogle Scholar
  • Dunning I, Huchette J, Lubin M (2017) JuMP: A modeling language for mathematical optimization. SIAM Rev. 59(2):295–320.CrossrefGoogle Scholar
  • Georghiou A, Wiesemann W, Kuhn D (2015) Generalized decision rule approximations for stochastic programming via liftings. Math. Program. 152(1):301–338.CrossrefGoogle Scholar
  • Goel V, Grossman IE (2004) A stochastic programming approach to planning of offshore gas field developments under uncertainty in reserves. Comput. Chem. Engrg. 28(8):1409–1429.CrossrefGoogle Scholar
  • Goh J, Sim M (2011) Robust optimization made easy with ROME. Oper. Res. 59(4):973–985.LinkGoogle Scholar
  • Gounaris CE, Wiesemann W, Floudas CA (2013) The robust capacitated vehicle routing problem under demand uncertainty. Oper. Res. 61(3):677–693.LinkGoogle Scholar
  • Haider Z, Charkhgard H, Kwon C (2018) A robust optimization approach for solving problems in conservation planning. Ecol. Model. 368:288–297.CrossrefGoogle Scholar
  • Hanasusanto GA, Kuhn D, Wiesemann W (2015) K-adaptability in two-stage robust binary programming. Oper. Res. 63(4):877–891.LinkGoogle Scholar
  • Jiang R, Zhang M, Li G, Guan Y (2014) Two-stage network constrained robust unit commitment problem. Eur. J. Oper. Res. 234(3):751–762.CrossrefGoogle Scholar
  • Jonsbråten TW (1998) Optimization models for petroleum field exploitation. Unpublished PhD thesis, Norwegian School of Economics and Business Administration, Bergen, Norway.Google Scholar
  • Kuhn D, Wiesemann W, Georghiou A (2009) Primal and dual linear decision rules in stochastic and robust optimization. Math. Program. 130(1):177–209.CrossrefGoogle Scholar
  • Lappas NH, Gounaris CE (2018) Robust optimization for decision-making under endogenous uncertainty. Comput. Chem. Engrg. 111:252–266.CrossrefGoogle Scholar
  • Löfberg J (2012) Automatic robust convex programming. Optim. Methods Software 27(1):115–129.CrossrefGoogle Scholar
  • Mamani H, Nassiri S, Wagner MR (2017) Closed-form solutions for robust inventory management. Management Sci. 63(5):1625–1643.LinkGoogle Scholar
  • Martin RC (2003) Agile Software Development: Principles, Patterns, and Practices (Prentice Hall PTR, Upper Saddle River, NJ).Google Scholar
  • Nohadani O, Roy A (2017) Robust optimization with time-dependent uncertainty in radiation therapy. IISE Trans. Healthcare Systems Engrg. 7(2):81–92.CrossrefGoogle Scholar
  • Nohadani O, Sharma K (2018) Optimization under decision-dependent uncertainty. SIAM J. Optim. 28(2):1773–1795.CrossrefGoogle Scholar
  • Perez S (2018) Coding dynamic behavior with the strategy pattern. Accessed May 1, 2021, https://severinperez.medium.com/coding-dynamic-behavior-with-the-strategy-pattern-c0bebaee6671#.Google Scholar
  • Rahimian H, Mehrotra S (2019) Distributionally robust optimization: A review. Preprint, submitted August 13, https://arxiv.org/pdf/1908.05659.pdf.Google Scholar
  • Rocha P, Kuhn D (2012) Multi-stage stochastic portfolio optimization in deregulated electricity markets using linear decision rules. Eur. J. Oper. Res. 216(2):397–408.CrossrefGoogle Scholar
  • Solak S, Clarke JP, Johnson EL, Barnes ER (2010) Optimization of R&D project portfolios under endogenous uncertainty. Eur. J. Oper. Res. 207(1):420–433.CrossrefGoogle Scholar
  • Vayanos P, Georghiou A, Yu H (2020) Robust optimization with decision-dependent information discovery. Preprint, submitted April 18, https://arxiv.org/pdf/2004.08490.pdf.Google Scholar
  • Vayanos P, Jin Q, Elissaios G (2022) ROCPP version v2020.0140. Accessed March 17, 2022, http://dx.doi.org/10.5281/zenodo.6360996.Google Scholar
  • Vayanos P, Kuhn D, Rustem B (2011) Decision rules for information discovery in multi-stage stochastic programming. Proc. 50th IEEE Conf. Decision Control (IEEE, Piscataway, NJ), 7368–7373.Google Scholar
  • Vayanos P, Kuhn D, Rustem B (2012) A constraint sampling approach for multi-stage robust optimization. Automatica J. IFAC 48(3):459–471.CrossrefGoogle Scholar
  • Vayanos P, Ye Y, McElfresh D, Dickerson J, Rice E (2021) Robust active preference elicitation. Preprint, submitted March 4, https://arxiv.org/abs/2003.01899.Google Scholar
  • Weitzman ML (1979) Optimal search for the best alternative. Econometrica 47(3):641–654.CrossrefGoogle Scholar
  • Wiesemann W, Kuhn D, Sim M (2014) Distributionally robust convex optimization. Oper. Res. 62(6):1358–1376.LinkGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.