Mars entry trajectory planning using robust optimization and uncertainty quantification

Surrogate duality for robust optimization

This paper presents a new approach aims to solve robust multidisciplinary design optimization MDO problem called Improved Multi-objective Robust Collaborative Optimization . This method combines the Multi-objective Robust Collaborative Optimization method, the Worst Possible Point constraint cuts and the Genetic algorithm NSGA-II type as an optimizer to solve the robust optimization problem of complex structure named Y-stiffened panel under interval uncertainty . The proposed approach hierarchically decomposes the optimization problem into a structure level considered as an upper level in the Y-stiffened panel and a second level considered as a lower level of the studied panel. A robust multi-objective optimization problem intended to optimize the eigenfrequency, the global mass and the displacement at a fixed point of the Y-stiffened panel at the first level and each structure’s robust optimization problem allows optimizing its eigenfrequency and mass limited by their local constraint functions at the second one. Tor demonstrate our method, an engineering example of Y-stiffened panel is treated. A good performance of proposed method is proved by a comparison between obtained results and Non-Distributed Multi-objective Robust Optimization .

Fast robust optimization of ORC based on an artificial neural network for waste heat recovery

In Chapter 4, several polynomially solvable cases of robust discrete optimization problems are discussed in detail. However, by results presented in Chapter 3 we also know that most robust discrete optimization problems belong to the NP-hard class. In this chapter, we present our approach for solving these difficult robust discrete optimization problems. We are in this chapter restricting our attention to robust discrete optimization problems with equivalent single scenario problems that can be efficiently solved with a polynomial or pseudo-polynomial procedure. The solution procedures are based on branch-and-bound with both upper and lower bounds generated by surrogate relaxation. To be exact, the upper bound (for a maximization problem) is obtained from surrogate relaxation and the lower bound is obtained as a by-product via a heuristic based on the surrogate relaxation result. In the case when input data satisfies bounded percentage deviation condition (to be defined in Section 5.2), the heuristic is shown to provide a constant approximation. Computational results in Section 5.3 demonstrate the effectiveness of the bounds and the solution procedure.

In this paper, we consider the numerical solution of a class of optimal control problems involving variable time points in their cost functions. The control enhancing transform is first used to convert the optimal control problem with variable time points into an equivalent optimal control problem with fixed multiple characteristic time (MCT). Using the control parametrization technique, the time horizon is partitioned into several subintervals. Let the partition points also be taken as decision variables. The control functions are approximated by piecewise constant or piecewise linear functions in accordance with these variable partition points. We thus obtain a finite dimensional optimization problem. The control parametrization enhancing control transform (CPET) is again used to convert approximate optimal control problems with variable partition points into equivalent standard optimal control problems with MCT, where the control functions are piecewise constant or piecewise linear functions with pre-fixed partition points. The transformed problems are essentially optimal parameter selection problems with MCT. The gradient formulae for the objective function as well as the constraint functions with respect to relevant decision variables are obtained. Numerical examples are solved using the proposed method.

In this paper, we define a distributionally robust k-sum optimization problem as the problem of finding a solution that minimizes the worst-case expected sum of up to the k largest costs of the elements in the solution. The costs are random with a joint probability distribution that is not completely specified but rather assumed to be known to lie in a set of probability distributions. For k=1, this reduces to a distributionally robust bottleneck optimization problem while for k=n, this reduces to distributionally robust minimum sum optimization problem. Our main result is that for a Fréchet class of discrete marginal distributions with finite support, the distributionally robust k-sum combinatorial optimization problem is solvable in polynomial time if the deterministic minimum sum problem is solvable in polynomial time. This extends the result of Punnen and Aneja [On k-sum optimization, Oper. Res. Lett. 18(5)(1996), pp. 233–236] from the deterministic to the robust case. We show that this choice of the set of distributions helps preserve the submodularity of the k-sum objective function which is an useful structural property for optimization problems.

The majority of the opportunistic spectrum access schemes in cognitive radio networks (CRNs) rely on the Listen-Before-Talk (LBT) model due to the half-duplex nature of conventional wireless radios. In this paper, we consider the problem of optimal opportunistic multi-channel spectrum sensing and access using full-duplex (FD) radios in the presence of uncertain primary user (PU) activity statistics. A joint learning and spectrum access scheme is proposed. To optimize its throughput, the SU sensing period has to be carefully tuned. However, in absence of exact knowledge of the PU activity statistics, the PU's performance may be adversely affected. To address this problem, we formulate a robust optimization problem. Our analysis shows that under some non-restrictive simplifying assumptions, the robust optimization problem is convex. We analyze the impact of the sensing period on the PU collision probability and the SU throughput, and find the optimal sensing period via convex optimization. We show that sublinear regrets can be attained by the proposed estimation and robust optimization strategy. Simulation studies also demonstrate that the resulting robust solution provides a good trade-off between optimizing the SU's throughput and protecting the PU.

The coupling of finite element simulations to mathematical optimization techniques has contributed significantly to product improvements and cost reductions in the metal forming industries. The next challenge is to bridge the gap between deterministic optimization techniques and the industrial need for robustness. This paper introduces a generally applicable strategy for modeling and efficiently solving robust optimization problems based on time consuming simulations. Noise variables and their effect on the responses are taken into account explicitly. The robust optimization strategy consists of four main stages: modeling, sensitivity analysis, robust optimization and sequential robust optimization. Use is made of a metamodel-based optimization approach to couple the computationally expensive finite element simulations with the robust optimization procedure. The initial metamodel approximation will only serve to find a first estimate of the robust optimum. Sequential optimization steps are subsequently applied to efficiently increase the accuracy of the response prediction at regions of interest containing the optimal robust design. The applicability of the proposed robust optimization strategy is demonstrated by the sequential robust optimization of an analytical test function and an industrial V-bending process. For the industrial application, several production trial runs have been performed to investigate and validate the robustness of the production process. For both applications, it is shown that the robust optimization strategy accounts for the effect of different sources of uncertainty onto the process responses in a very efficient manner. Moreover, application of the methodology to the industrial V-bending process results in valuable process insights and an improved robust process design.

We propose a dynamical system-based approach for solving robust optimization problems. The well-known continuous-time dynamical system for solving deterministic optimization problems arises in the form of primal-dual gradient dynamics where the vector field is derived as the gradient of the Lagrangian. The new continuous-time dynamical system we introduce for solving robust optimization problems differs from the primal-dual dynamics in the sense that the vector field is not derived as the gradient of the Lagrangian function. We call this new dynamical system as saddle point dynamics. In the saddle point dynamics, the uncertain variable arises as a dynamical state. For a general class of robust optimization problem, where the cost function is convex in decision variable and concave in uncertain variable, we show that the robust optimal solution can be recovered as a globally asymptotically stable equilibrium point of the saddle point dynamical system. Simulation results are presented to demonstrate the capability of this new dynamical system to solve various robust optimization problems. We also compare our proposed approach with existing methods based on robust counterpart and scenario-based random sampling.

In this paper, we design a Branch and Bound algorithm based on interval arithmetic to address nonconvex robust optimization problems. This algorithm provides the exact global solution of such difficult problems arising in many real life applications. A code was developed in MatLab and was used to solve some robust nonconvex problems with few variables. This first numerical study shows the interest of this approach providing the global solution of such difficult robust nonconvex optimization problems.

We examine the robust mean-VaR portfolio optimization problem when a parametric approach is used for estimating VaR. A robust optimization formulation is used to accommodate estimation risk, and we obtain an analytic solution when there is a risk-free asset and short-selling is allowed. This renders the model computationally tractable. Further, to avoid the conservatism of robust optimal portfolios, we suggest an adjusted robust optimization approach. Empirically, we evaluate the out-of-sample performance of the new approach, the robustness of obtained solutions and level of conservatism of the resulting portfolios. The empirical results highlight some benefits of our approach.

Aiming at the problem of supply chain robust optimization with multiple performance responses, a robust optimization method was proposed by combining principal component analysis with double response surface method based on Kriging meta-model. Firstly, through principal component analysis, the location characteristics and divergence characteristics of multiple related performance responses were transformed into the principal component comprehensive score of supply chain performance; secondly, the Kriging metamodels of location characteristics and divergence characteristics of multiple performance responses were constructed respectively, and the principal component comprehensive score model of comprehensive performance based on Kriging meta-model was constructed. Thus the optimal operating conditions by optimizing the constructed robust optimization strategy were obtained in order to realize the robust optimization of supply chain system with correlated multiple responses. Finally, a supply chain simulation case was given to illustrate the effectiveness of our proposed optimization method, and the robustness of different methods was also discussed. The comparison results showed that our proposed was more robust.

ABSTRACTThe rapid development of renewable energy has promoted the research of the integrated energy system. In particular, the joint optimal scheduling of renewable energy and traditional thermal power units is the key technology to solve the current renewable energy integration and the source network load balance. At present, the total installed capacity of cogeneration units is huge, which hinders the integration of renewable energy and the flexibility of the power grid regulation. Therefore, this paper proposes a robust optimal scheduling strategy for the plant‐level integrated energy system considering electricity‐heat balance. The wind power and solar energy are connected in parallel with the heating network of cogeneration units to decouple heat and power in a more economical and flexible way, while improving the integration of renewable energy. Based on the principle of Kang's robust optimization, robust optimization, a linear robust optimization probability density bias prediction optimization method for the plant‐level integrated energy system considering the electric‐heat balance is proposed in this paper. The dynamic nonlinear constraints in the output process of thermal and electrical loads are transformed into linear, which takes into account the conservatism of robust optimization and the economy of the objective function. The proposed optimization algorithm facilitates the integration of a high proportion of renewable energy into the power grid and is also applicable to other integrated energy systems with nonlinear constraint characteristics.

Quadratically adjustable robust linear optimization with inexact data via generalized S-lemma: Exact second-order cone program reformulations

A number of multi-objective evolutionary algorithms have been proposed in recent years and many of them have been used to solve engineering design optimization problems. However, designs need to be robust for real-life implementation, i.e. performance should not degrade substantially under expected variations in the variable values or operating conditions. Solutions of constrained robust design optimization problems should not be too close to the constraint boundaries so that they remain feasible under expected variations. A robust design optimization problem is far more computationally expensive than a design optimization problem as neighbourhood assessments of every solution are required to compute the performance variance and to ensure neighbourhood feasibility. A framework for robust design optimization using a surrogate model for neighbourhood assessments is introduced in this article. The robust design optimization problem is modelled as a multi-objective optimization problem with the aim of simultaneously maximizing performance and minimizing performance variance. A modified constraint-handling scheme is implemented to deal with neighbourhood feasibility. A radial basis function (RBF) network is used as a surrogate model and the accuracy of this model is maintained via periodic retraining. In addition to using surrogates to reduce computational time, the algorithm has been implemented on multiple processors using a master–slave topology. The preliminary results of two constrained robust design optimization problems indicate that substantial savings in the actual number of function evaluations are possible while maintaining an acceptable level of solution quality.