Operations Research topics: SAS/OR,
SAS Optimization, and SAS Simulation Studio

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

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

thoughts?
does sas/or support this?
samples would be nice.
SAS Employee
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Re: http://en.wikipedia.org/wiki/Robust_optimization

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.
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