Robust Optimiation and Ellipsoid Uncertainty

  • 7 October 2021
  • 2 replies


Dear All,


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?


Thank you


2 replies

Userlevel 4
Badge +1

Thanks Luis,

It is not entirely clear to us what question you are asking and how you think we can help you. Would it be possible to elaborate on your question a bit further? Many thanks!




Thank you for your message. 

I included all details about my question on microsoft word. I also send the aimms file with the model.


I’m creating an assortment model and I would like to use the ellipsoid uncertianty.

I k ow that I can use the function Ellispoid from aimms. However, I would like to use the uncertainty region, and the uncertianty constraint to build the ellipsoid. 


I think that I was able to create the model with ellipsoid. I described the process that I used to build the model and I would like to check if there is something missing.


Thank you 





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