Robust Optimization with FICO TM Xpress

This whitepaper gives an introduction to formulating and solving Robust Optimization problems with FICO TM 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.