Robust Optimization with FICO Xpress

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This whitepaper gives an introduction to formulating and solving Robust Optimization problems with FICOTM

Xpress.

The introductory part explains the general concepts of Robust Optimization and which types of formulations

are available with Xpress. The remainder of this document is formed by a collection of example problems

showing typical uses of Robust Optimization in practice with a discussion of the problem implementation with

Xpress-Mosel.

The examples presented in this whitepaper are included in the examples/robust/Mosel directory of the

Xpress installation.

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