For this assignment write a command-line program that reads price/scenario
data for the robust arbitrage detection problem, and creates an LP file with
the formulation, as discussed in class. Make sure that the program works
by running Cplex from the command line, having it read your LP file
and run the LP. You can also test that your program works by taking the
non-robust example we looked at in class, and using that as the data set
(using zero values for the maximum price deviations in each scenario).
Here is an example of a data set in the desired format.
Extra Credit. Suppose we modify the definition of robustness by
assuming that in each scenario, the sum of absolute values of deviations of
prices from their expectations is at most 3 times the MAXIMUM of the sigma
quantities for that scenario; in addition to saying that the price of
each asset is in its corresponding interval [ expectation - sigma , expectation + sigma ].
How would you modify the robust formulation?