ROME swMATH ID: 4733 Software Authors: Goh, Joel; Sim, Melvyn Description: Robust optimization made easy with ROME 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 url{http://www.robustopt.com}. Homepage: http://www.robustopt.com/ Dependencies: Matlab Keywords: robust optimization; algebraic modeling toolbox; MATLAB; stochastic programming; decision rules; inventory control; PERT; project management; portfolio optimization Related Software: YALMIP; CVX; CPLEX; AIMMS; SeDuMi; SDPT3; Julia; Mosek; EMD; JuMP; Robotics; QRM; Gurobi; Ipopt; OR-Library; GitHub; Pyomo; CasADi; RiskMetrics; UCI-ml Cited in: 149 Documents all top 5 Cited by 319 Authors 14 Kuhn, Daniel 7 Wiesemann, Wolfram 6 den Hertog, Dick 6 Georghiou, Angelos 5 Delage, Erick 5 Lam, Henry 5 Sim, Melvyn 4 Goerigk, Marc 4 Hanasusanto, Grani A. 4 Xu, Huifu 3 Ben-Tal, Aharon 3 Bertsimas, Dimitris John 3 Goh, Joel Weiqiang 3 Ji, Ying 3 Mohajerin Esfahani, Peyman 3 Qu, Shaojian 3 Sun, Hailin 3 Xu, Huan 2 Ardestani-Jaafari, Amir 2 Blanchet, Jose H. 2 Chassein, André B. 2 Chen, Ruidi 2 Chen, Zhi 2 Gauvin, Charles 2 Gendreau, Michel 2 Ketkov, Sergey S. 2 Lejeune, Miguel A. 2 Liu, Wei 2 Liu, Yankui 2 Lorca, Álvaro 2 Lozano, Leonardo 2 Maggioni, Francesca 2 Mannor, Shie 2 Natarajan, Karthik 2 Paschalidis, Ioannis Ch. 2 Pflug, Georg Ch. 2 Poss, Michael 2 Postek, Krzysztof 2 Recchia, Raffaella 2 Rustem, Berc 2 Saif, Ahmed A. F. 2 Scutellà, Maria Grazia 2 Shang, Chao 2 Sun, Jie 2 Tsoukalas, Angelos 2 Vayanos, Phebe 2 Wang, Guanglei 2 Yang, Li 2 Yanikoğlu, İhsan 2 Yu, Bo 2 Zymler, Steve 1 Agrawal, Shipra 1 Analui, Bita 1 Ang, James S. K. 1 Arai, Takuji 1 Arslan, Ayşe N. 1 Asano, Takao 1 Aydin, Nazli Yonca 1 Ayoub, Josette 1 Bansal, Ankit 1 Bas, Esra 1 Bayati, Mohsen Fathollah 1 Bemporad, Alberto 1 Ben-Ameur, Walid 1 Berg, Bjorn P. 1 Bertazzi, Luca 1 Birmpa, Panagiota 1 Borges, Pedro Castro 1 Borrero, Juan S. 1 Brekelmans, Ruud C. M. 1 Burashnikov, Evgenii P. 1 Cagnolari, Matteo 1 Campi, Marco Claudio 1 Caramanis, Constantine 1 Carlsson, John Gunnar 1 Caunhye, Aakil M. 1 Chakrabarti, Deepayan 1 Chan, Timothy C. Y. 1 Chen, Fuxing 1 Chen, Louis Hsiao-Yun 1 Chen, Xi 1 Chen, Yannan 1 Cheng, Jianqiang 1 Cheng, Tai-Chiu Edwin 1 Chu, Singfat 1 Conejo, Antonio J. 1 Cortés, Cristián E. 1 Costa Santos, Marcio 1 Dai, Yeming 1 Dawande, Milind W. 1 de Klerk, Etienne 1 de Ruiter, Frans J. C. T. 1 Desmettre, Sascha 1 Detienne, Boris 1 Dhamotharan, Lalitha 1 Ding, Steven X. 1 Ding, Yichuan 1 Dokka, Trivikram 1 Du, NingNing 1 Dunning, Iain ...and 219 more Authors all top 5 Cited in 44 Serials 26 Operations Research 19 European Journal of Operational Research 10 Mathematical Programming. Series A. Series B 10 INFORMS Journal on Computing 9 Computers & Operations Research 6 Mathematics of Operations Research 5 SIAM Journal on Optimization 5 Computational Management Science 4 Annals of Operations Research 3 Automatica 3 Journal of Optimization Theory and Applications 3 Insurance Mathematics & Economics 3 Journal of Global Optimization 3 Computational Optimization and Applications 3 Optimization Letters 2 Optimization 2 Journal of Machine Learning Research (JMLR) 2 OR Spectrum 2 Journal of Industrial and Management Optimization 2 Discrete and Continuous Dynamical Systems. 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Principles and Applications of Systems and Integration 1 INFOR: Information Systems and Operational Research all top 5 Cited in 12 Fields 134 Operations research, mathematical programming (90-XX) 21 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 15 Statistics (62-XX) 7 Probability theory and stochastic processes (60-XX) 7 Numerical analysis (65-XX) 7 Computer science (68-XX) 6 Systems theory; control (93-XX) 4 Calculus of variations and optimal control; optimization (49-XX) 3 Biology and other natural sciences (92-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year