I have been trying to use ellipsoid uncertainty in a simple problem that I have.
The problem is an assortment optimization. Then, I have the Demand Mean for each products Dem(p) and the Covariance matrix or the variance Var(p,p1) for each par of products.
The objective is to select the products what will maximize the expected demand Dem(p) at the same time, penalizes products with high variance. The uncertainty set will be a ellipsoid uncertainty.
I would like to create the eelipsoid uncertainty using the uncertainty region like:
Demand(p).level - sum[p1 , Var(p,p1) * …………
There is a example in the book on page 341. but it’s not clear for me.
Could you help me to model the ellipsoid uncertainty using the uncertainty property?