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Introductory examples

Introductory examples from the whitepaper 'Robust Optimization with Xpress'. Topics covered by the examples:
  • Price of robustness: cost_of_robustness.mos (calculating the cost of having uncertainty in the model)
  • Working with nominal values:

    nominalvalue_0base.mos (simple robust model without nominal values);

    nominalvalue_2base.mos (simple robust model with a nominal valued uncertain);

    nominalvalue_none.mos (uncertainty as an addition to a coefficient);

    nominalvalue_rule2.mos (using uncertains with nominal value as coefficients);

    nominalvalue_shift1.mos (basic version without nominal values);

    nominalvalue_shift2.mos (defining nominal values);

    nominalvalue_shift3.mos (substituting the effect of the nominal values);

    nominalvalue_simple.mos (uncertainty as a coefficient)
  • Overlapping uncertainty:

    overlapping_cardinality.mos (cardinality constraint with overlapping uncertainty sets);

    overlapping_polyhedral.mos, overlapping_polyhedral2.mos (polyhedral uncertainty set with overlapping use in robust constraints)
  • Working with scenarios:

    scenario_simple.mos (simple robust optimization model with scenario based uncertainty);

    scenario_simple_deterministic.mos (deterministic version of the simple scenario problem)
  • Special cases:

    careful_equalities.mos (robust problem with equality constraint);

    careful_unbounded_uncertain.mos (robust problem with an unbounded uncertain)
Further explanation of this example: Whitepaper 'Robust Optimization with Xpress', Section 1 Introduction

Source Files


   Mosel Example Problems

   Example model for the 
   Robust Optimization with Xpress white paper

   (c) 2014 Fair Isaac Corporation
model PriceRobustness
  uses "mmrobust"                    ! Load the robust library

    x : mpvar
    u : uncertain

  0 <= u
  u <= 3

  (1+u)*x <= 1

  maximize(XPRS_NOMINAL, x)
  nominal_objective := getobjval
  writeln("Objective at nominal values:", nominal_objective );

  robust_objective := getobjval
  writeln("Robust objective:", robust_objective );
  writeln("Price of robustness:", nominal_objective - robust_objective );
  writeln("Worst value of uncertain:", u.sol)


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