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Library description

ROPI is a freely available C++ library that facilitates the applicability of robust optimization models. It provides two main features:

• A user-friendly MIP class that allows automatic transformation to solver-specific MIP classes. Using this feature, MIPs can be generically written, and solved with whatever solver is currently available. ROPI currently supports transformation to Cplex-, Gurobi-, and Xpress-MIPs. Support for further solvers can be easily added.
• An automatic transformation from a given nominal MIP to a robust MIP. Currently implemented is Strict Robustness, Light Robustness, RecFeas and RecOpt.

Note that ROPI is a work in progress and still under development. Preliminary library version can be downloaded below. Feedback and bugfinds are greatly appreciated!

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Application example

Assume you have a linear program in an mps file. Read in the program using

LP lp;
lp.read_mpsfile("file.mps");

Now let us assume that the right-hand-side of this LP is uncertain. We create an uncertainty set of 5 scenarios, and in each scenario exactly one parameter may deviate.

FiniteUncertainty unc;
list<Con>* lpcons = lp.get_cons();
for (int i=0; i<5; ++i)
{
  list<Con>::iterator it = lpcons->begin();
  advance(it,rand()%(lpcons->size()));
  FiniteScenario scen;
  scen.rhs[*it] = it->rhs * (1+(rand()%100)/400.0 - 1.0/8 );
  unc.scenarios.push_back(scen);
}

We now generate a robust counterpart and solve it using Cplex.

Robustness rob(&lp,ROB_STRICT);
rob.set_uncertainty(unc);
LP rc = rob.generate_robust();

Solver sol;
sol.init(&rc, SOL_CPLEX);
sol.solve();


And that's it!

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Installation

• After unzipping the ROPI tarball, open the file runtobuild.sh.
• Here you may need to adjust the home directories for Cplex, Gurobi, and Xpress.
• If you miss one of them, just leave the path variable empty. ROPI is then compiled without the respective solver support.
• Run ./runtobuild.sh, and you are set up!

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Version history

Current version is 0.1.0 (June 19, 2012).

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Downloads

Version 0.1.0

• Library overview (pdf)
• Reference manual (pdf)
• ROPI 0.1.0

 




Last update: June 19, 2012