Main References:

  • ROME User's Guide 1.0 (beta)
  • Joel Goh and Melvyn Sim. Distributionally Robust Optimization and its Tractable Approximations. NUS Business School, Working Paper, 2009. [preprint]
  • Joel Goh and Melvyn Sim. Robust Optimization Made Easy with ROME. NUS Business School, Working Paper, 2009. [preprint]

Related References:

  • Wenqing Chen and Melvyn Sim. Goal Driven Optimization. Operations Research, 2009, 57(2), 342-357. [link] [preprint]
  • Chuen-Teck See and Melvyn Sim. Robust Approximation to Multi-Period Inventory Management. Operations Research forthcoming. [preprint]
  • Wenqing Chen, Melvyn Sim, Jie Sun and Chung-Piaw Teo. CVaR to Uncertainty Set: Implications in Joint Chance Constrained Optimization. Operations Research forthcoming. [preprint]
  • Karthik Natarajan, Melvyn Sim and Joline Uichanco. Tractable Expected Utility and Risk Models for Portfolio Optimization. Mathematical Finance forthcoming. [preprint]
  • Xin Chen, Melvyn Sim, Peng Sun and Jiawei Zhang. A Linear-Decision Based Approximation Approach to Stochastic Programming. Operations Research, 56(2) 2008, 344-357. [link] [preprint]
  • Xin Chen, Melvyn Sim, Peng Sun. A Robust Optimization Perspective on Stochastic Programming. Operations Research, 55(6), 1058-1071, 2007. [link] [preprint]
  • A. Nemirovski and A. Shapiro. Convex Approximations of Chance Constrained Programs. SIAM J. Optim.17(4), 969-996, 2006. [link][preprint]
  • A. Ben-Tal, B. Golany, A. Nemirovski and J-P. Vial. Retailer-Supplier Flexible Commitments Contracts: A Robust Optimization Approach. Manufacturing & Service Operations Management, 7(3), 248-271, 2005. [preprint]
  • A. Ben-Tal, A. Goryashko, E. Guslitzer and A. Nemirovski. Adjustable Robust Solutions of Uncertain Linear Programs. Math. Prog, 99(2), 351 - 376, 2004. [link][preprint]
  • Dimitris Bertismas and Aurélie Thiele. A Robust Optimization Approach to Inventory Theory. Operations Research. 54(1), 150-168, 2006.[link] [preprint]
  • Dimitris Bertsimas and Melvyn Sim. Price of Robustness. Operations Research, 52(1), 35-53, 2004. [link] [preprint]
  • A. Ben-Tal and A. Nemirovski. Robust solutions of Linear Programming problems contaminated with uncertain data. Math. Prog, 88(3), 411-424, 2000. [link] [preprint]
  • A. Ben-Tal and A. Nemirovski. Robust Convex Optimization. Math. of Operations Research, 23(4), 769-805, 1998. [link] [preprint]
  • AL Soyster. Convex programming with set-inclusive constraints and applications to inexact linear programming. Operations Research, 21(5), 1154-1157, 1973. [link]

Related Presentations

  • Joel Goh. Distributionally Robust Optimization and its Tractable Approximations with ROME. ISMP, Aug 2009, Chicago. [slides] [handout]
  • Joel Goh. Distributionally Robust Optimization with ROME. Guest Lecture, NUS Business School, Jun 2009, Singapore. [Part 1] [Part 2]