Skip to main content Accessibility help
×
Hostname: page-component-848d4c4894-ndmmz Total loading time: 0 Render date: 2024-05-01T11:22:38.708Z Has data issue: false hasContentIssue false

6 - Robust optimization in high dimensions

Published online by Cambridge University Press:  04 May 2010

A. F. J. Levi
Affiliation:
University of Southern California
Stephan Haas
Affiliation:
University of Southern California
Get access

Summary

Introduction

Optimization has a distinguished history in engineering and industrial design. Most approaches, however, assume that the input parameters are precisely known and that the implementation does not suffer any errors. Information used to model a problem is often noisy, incomplete or even erroneous. In science and engineering, measurement errors are inevitable. In business applications, the cost and selling price as well as the demand for a product are, at best, expert opinions. Moreover, even if uncertainties in the model data can be ignored, solutions cannot be implemented to infinite precision, as assumed in continuous optimization. Therefore, an “optimal” solution can easily be sub-optimal or, even worse, infeasible.

There has been evidence illustrating that if errors (in implementation or estimation of parameters) are not taken into account during the design process, the actual phenomenon can completely disappear. A prime example is optimizing the truss design for suspension bridges. The Tacoma Narrows bridge was the first of its kind that was optimized to divert the wind above and below the roadbed [1]. Only a few months after its opening in 1940, it collapsed due to moderate winds which caused twisting vibrational modes. In another example, Ben-Tal and Nemirovski demonstrated that only 5% errors can entirely destroy the radiation characteristics of an otherwise optimized phased locked and impedance matched array of antennas [2]. Therefore, taking errors into account during the optimization process is a first-order effect.

Traditionally, sensitivity analysis was performed to study the impact of perturbations on specific designs and to find solutions that are least sensitive among a larger set of optima.

Type
Chapter
Information
Optimal Device Design , pp. 149 - 188
Publisher: Cambridge University Press
Print publication year: 2009

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Petroski, H., Design Paradigms, Cambridge University Press, Cambridge, United Kingdom, 1994.CrossRefGoogle Scholar
Ben, A.-Tal and Nemirovski, A., Robust optimization — methodology and applications, Mathematical Programming 92, 453–480 (2002).Google Scholar
Birge, J. R. and Louveaux, F., Introduction to Stochastic Programming, Springer-Verlag, New York, New York, 1997.Google Scholar
Prekopa, A. and Ruszczynski, A., Stochastic programming, Optimization Methods and Software 17, 359–559 (2002).Google Scholar
Charnes, A. and Cooper, W. W., Chance-constrained programming, Management Science 6, 73–79 (1959).CrossRefGoogle Scholar
Markowitz, H., Portfolio selection, The Journal of Finance 7, 77–91 (1952).Google Scholar
Park, G. J., Lee, T. H., Lee, K. H., and Hwang, K. H., Robust design — an overview, American Institute of Aeronautics and Astronautics Journal 44, 181–191 (2006).CrossRefGoogle Scholar
Ramakrishnan, B. and Rao, S. S., A robust optimization approach using Taguchi's loss function for solving nonlinear optimization problems, Advances in Design Automation 32, 241–248 (1991).Google Scholar
Ruszczynski, A. and Shapiro, A., Optimization of Risk Measures, Springer-Verlag, London, pp. 119–157 (2006).Google Scholar
Uryasev, S. and Rockafellar, R., Conditional Value-at-risk: Optimization Approach, vol. 54 of Applied Optimization, Kluwer Academic Publishing, Dordrecht, The Netherlands, 2001.Google Scholar
Mulvey, J. and Ruszczynski, A., A new scenario decomposition method for large-scale stochastic optimization, Operations Research 43, 477–490 (1995).CrossRefGoogle Scholar
Rockafellar, R. T. and Wets, R. J. B., Scenarios and policy aggregation in optimization under uncertainty, Mathematics of Operations Research 16, 119–147 (1991).CrossRefGoogle Scholar
Dyer, M. and Stougie, L., Computational complexity of stochastic programming problems, Mathematical Programming 106, 423–432 (2006).CrossRefGoogle Scholar
Nemirovski, A., On tractable approximations of randomly perturbed convex constraints, Proceedings, 42nd IEEE Conference on Decision and Control 3, 2419–2422 (2003).Google Scholar
Doltsinis, I. and Kang, Z., Robust design of structures using optimization methods, Computational Methods in Applied Mechanical Engineering 193, 2221–2237 (2004).CrossRefGoogle Scholar
Lee, K. H. and Park, G. J., Robust optimization considering tolerances of design variables, Computers and Structures 79, 77–86 (2001).CrossRefGoogle Scholar
Ben-Tal, A. and Nemirovski, A., Robust convex optimization, Mathematics of Operations Research 23, 769–805 (1998).CrossRefGoogle Scholar
Bertsimas, D. and Sim, M., Robust discrete optimization and network flows, Mathematical Programming 98, 49–71 (2003).CrossRefGoogle Scholar
Bertsimas, D. and Sim, M., Tractable approximations to robust conic optimization problems, Mathematical Programming 107, 5–36 (2006).CrossRefGoogle Scholar
Žakovic, S. and Pantelides, C., An interior point algorithm for computing saddle points of constrained continuous minimax, Annals of Operations Research 99, 59–77 (2000).CrossRefGoogle Scholar
Diehl, M., Bock, H. G., and Kostina, E., An approximation technique for robust nonlinear optimization, Mathematical Programming, Ser. B 107, 213–230 (2006).CrossRefGoogle Scholar
Zhang, Y., General robust-optimization formulation for nonlinear programming, Journal of Optimization Theory and Applications 132, 111–124 (2007).CrossRefGoogle Scholar
Ciarlet, P. G., Finite Element Method for Elliptic Problems, Society for Industrial and Applied Mathematics, Philadelphia, Pennsylvania, 2002.CrossRefGoogle Scholar
Cook, R. D., Malkus, D. S., Plesha, M. E., and Witt, R. J., Concepts and Applications of Finite Element Analysis, John Wiley and Sons, Hoboken, New Jersey, 2007.Google Scholar
Jin, R.,Chen, W., and Simpson, T.W., Comparative studies of metamodelling techniques under multiple modelling criteria, Structural and Multidisciplinary Optimization 23, 1–13 (2001).CrossRefGoogle Scholar
Simpson, T.W., Poplinski, J. D., Koch, P. N., and Allen, J. K., Metamodels for computerbased engineering design: Survey and recommendations., Engineering with Computers 17, 129–150 (2001).CrossRefGoogle Scholar
Stinstra, E. and Hertog, D., Robust optimization using computer experiments, European Journal of Operational Research 191, 816–83 (2008).CrossRefGoogle Scholar
Bertsimas, D., Nohadani, O., and Teo, K. M., Robust optimization for unconstrained simulation-based problems, Operations Research, accepted for publication (2008).Google Scholar
Bertsimas, D., Nohadani, O., and K. Teo, M., Robust optimization in electromagnetic scattering problems, Journal of Applied Physics 101, 074507 1–7 (2007).CrossRefGoogle Scholar
Gheorma, I. L., Haas, S., and Levi, A. F. J., Aperiodic nanophotonic design, Journal of Applied Physics 95, 1420–1426 (2004).CrossRefGoogle Scholar
Seliger, P., Mahvash, M., Wang, C., and Levi, A. F. J., Optimization of aperiodic dielectric structures, Journal of Applied Physics 100, 034310 1–6 (2006).CrossRefGoogle Scholar
Kingsland, D. M., Gong, J., Volakis, J. L., and Lee, J. F., Performance of an anisotropic artificial absorber for truncating finite-element meshes, IEEE Transactions on Antennas Propagation 44, 975–982 (2006).CrossRefGoogle Scholar
Berenger, J. P., Three-dimensional perfectly matched layer for the absorption of electromagnetic waves, Journal of Computational Physics 127, 363–379 (1996).CrossRefGoogle Scholar
Szipöcs, R., Ferencz, K., Spielmann, C., and Karusz, F., Chirped multilayer coatings for broadband dispersion control in femtosecond lasers, Optics Letters 19, 201–203 (1994).CrossRefGoogle ScholarPubMed
Kärtner, F., Matuschek, N., Schibli, T., et al., Design and fabrication of double-chirped mirrors, Optics Letters 22, 831–833 (1997).CrossRefGoogle ScholarPubMed
Matuschek, N., Kärtner, F., and Keller, U., Theory of double-chirped mirrors, IEEE Journal of Selected Topics in Quantum Electronics 4, 197–208 (1998).CrossRefGoogle Scholar
Kaertner, F., Morgner, U., Schibli, T., et al., Ultrabroadband double-chirped mirror pairs for generation of octave spectra, Journal of the Optical Society of America B18, 882–885 (2001).CrossRefGoogle Scholar
Sullivan, B. and Dobrowolski, J., Deposition error compensation for optical multilayer coating: I. theoretical description, Applied Optics 31, 3821–3835 (1992).CrossRefGoogle Scholar
Pervak, V., Tikhonravov, A., Trubetskov, M., et al., 1.5-octave chirped mirror for pulse compression down to sub-3 fs, Applied Optics 87, 5–12 (2007).Google Scholar
Yakovlev, V. and Tempea, G., Optimization of chirped mirrors, Applied Optics 41, 6514–6520 (2002).CrossRefGoogle ScholarPubMed
Kong, J., Electromagnetic Wave Theory, EMW Publishing, Cambridge, Massachusetts, 2000.Google Scholar
Birge, J. and Kärtner, F., Efficient analytic computation of dispersion from multilayer structures, Applied Optics 45, 1478–1483 (2006).CrossRefGoogle ScholarPubMed
Birge, J. and Kärtner, F., Efficient optimization of multilayer coatings for ultrafast optics using analytic gradients of dispersion, Applied Optics 46, 2656–2662 (2007).CrossRefGoogle ScholarPubMed
Mücke, O., Ell, R., Winter, A., et al., Self-referenced 200 MHz octave-spanning Ti:saphhire laser with 50 attosecond carrier-envelope phase jitter, Optics Express 13, 5163–5169 (2005).CrossRefGoogle ScholarPubMed
Verly, P., Fourier transform technique with refinement in the frequency domain for the synthesis of optical thin films, Applied Optics 35, 5148–5154 (1996).CrossRefGoogle ScholarPubMed
Tikhonravov, A., Trubetskov, M., and DeBell, G., Applications of the needle optimization technique to the design of optical coatings, Applied Optics 35, 5493–5508 (1996).CrossRefGoogle Scholar
Bertsimas, D., Nohadani, O., and Teo, K. M., Nonconvex robust optimization for problems with constraints, INFORMS Journal on Computing, accepted for publication (2008).Google Scholar
Lasserre, J. B., Robust global optimization with polynomials, Mathematical Programming 107, 275–293 (2006).CrossRefGoogle Scholar
Henrion, D. and Lasserre, J. B., Gloptipoly: Global optimization over polynomials with Matlab and SeDuMi, ACM Transactions on Mathematical Software 29, 165–194 (2003).CrossRefGoogle Scholar
Kojima, M., Sums of Squares Relaxations of Polynomial Semidefinite Programs, Mathematical and Computing Sciences, Tokyo Institute of Technology, Meguro, Tokyo, Japan, pp. 152–8552 (2003).Google Scholar

Save book to Kindle

To save this book to your Kindle, first ensure coreplatform@cambridge.org is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about saving to your Kindle.

Note you can select to save to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

Find out more about the Kindle Personal Document Service.

Available formats
×

Save book to Dropbox

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Dropbox.

Available formats
×

Save book to Google Drive

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Google Drive.

Available formats
×