RSOME案例：两阶段鲁棒批量生产优化

RSOME: Robust Stochastic Optimization Made Easy

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Adaptive Robust Lot-Sizing

In this example, we consider a lot-sizing problem described in Bertsimas and de Ruiter (2016). In a network with $N$ stores, the stock allocation $x_i$ for each store $i$ is determined prior to knowing the realization of the demand at each location. The demand, denoted by the vector $d$, is uncertain and assumed to be in a budget uncertainty set

$$\mathcal{U}=\left\{d\text{d}d:0\text{0}0\le d\text{d}d\le d_{\text{max}}e\text{e}e,{e\text{e}e}^{\top }d\text{d}d\le \Gamma \right\}.$$

After the demand realization of demand is observed, stock $y_{ij}$ could be tran