该案例展示了如何使用RSOME解决鲁棒随机优化中的联合生产库存问题。问题涉及不确定的产品需求、生产成本、库存限制等。通过调整目标函数并添加约束，寻找帕累托最优解，以确保在非最坏情况下的性能。参考了Ben-Tal等人(2004)和de Ruiter等人(2016)的研究。
RSOME: Robust Stochastic Optimization Made Easy
Joint Production-Inventory
In this example, we considered the robust production-inventory problem introduced in Ben-Tal et al. (2004). The formulation of the robust model is given below,
min max d ∈ Z ∑ t = 1 24 ∑ i = 1 3 c i t p i t ( d ) s.t. 0 ≤ p i t ( d ) ≤ P i t , i = 1 , 2 , 3 ; t = 1 , 2 , . . . , 24 ∑ i = 1 ⊤ p i t ( d ) ≤ Q i , i = 1 , 2 , 3 v min ≤ v 0 + ∑ τ = 1 t − 1 ∑ i = 1 3 p i τ − ∑ τ = 1 t − 1 d τ ≤ v max , t = 1 , 2 , . . . , 24 , \begin{aligned} \min~&\max\limits_{\pmb{d}\in \mathcal{Z}}\sum\limits_{t=1}^{24}\sum\limits_{i=1}^3c_{it}p_{it}(\pmb{d}) &&\\ \text{s.t.}~&0 \leq p_{it}(\pmb{d}) \leq P_{it}, && i= 1, 2, 3; t = 1, 2, ..., 24 \\ &\sum\limits_{i=1}^{\top}p_{it}(\pmb{d}) \leq Q_i, && i = 1, 2, 3 \\ & v_{\min} \leq v_0 + \sum\limits_{\tau=1}^{t-1}\sum\limits_{i=1}^3p_{i\tau} - \sum\limits_{\tau=1}^{t-1}d_{\tau} \leq v_{\max}, && t = 1, 2, ..., 24, \end{aligned} min s.t. ddd∈Zmaxt=1∑24i=1∑3citpit(ddd)0≤pit(ddd)≤Pit,i=1∑⊤pit(d
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