http://en.wikipedia.org/wiki/Robust_optimization

[deleted_user]

thoughts?
does sas/or support this?
samples would be nice.

[Ivan_Oliveira_sas_com]

In principle, yes.

R&D showed examples of robust optimization at last year's INFORMS workshop. These were built using a set of macros that create the robust counter part (as per Bertsimas et al), and solves the problem. We gathered uncertainty data with JMP for a portfolio optimization example and solved the problem with SAS/OR (SAS Connect was used to interface JMP with OPTMODEL).

We will most likely be presenting this again at this year's workshop, and if there is interest we may release the macros at some point in the future.

--Ivan.