Two-Stage Robust Optimization Model for Uncertainty Investment Portfolio Problems

Algorithm 1

Specific steps of models algorithm.

(i)	Input Measurement data
(ii)	Initialization: Input the initial value; Setting parameter value boundary;
(iii)	Step 1:
(iv)	For TS-MIP model: Define variable type; Set probability function;
(v)	else TS-RO model
(vi)	Define the variable type; Generate random number; Set the safety parameters;
(vii)	End
(viii)	Step 2: While
(ix)	Input , do step 3; Otherwise: re-step 1;
(x)	End while
(xi)	Step 3: Initialize
(xii)	Input Parameter constraints; Variable constraints;
(xiii)	End
(xiv)	Step 4: Do for: Set the solution environment; Solved by Gurobi;
(xv)	If met step 3: Out the result and time
(xvi)	Else: profit step 2;
(xvii)	End do
(xviii)	Profit