ROPI—a robust optimization programming interface for C++

Abstract

Robust optimization aims at pushing optimization techniques to practical applicability by including data uncertainty. Thus, it is crucial to collect algorithms and concepts for robust optimization, and to make them publicly available while being easy-to-use for the practitioner without working deeply into the theoretical background. With ROPI, a robust optimization programming interface for C++, we try to commit to this process. This paper gives an overview on current approaches to robust optimization, outlines the basic properties and functionalities of ROPI, and discusses the differences to other available libraries.

Keywords:

• robust optimization
• C++software library
• modelling software

Acknowledgements

Some of the author's work was done at the University of Göttingen, partially supported by grant SCHO 1140/3-1 within the DFG programme Algorithm Engineering.