Robust optimization using computer experiments

Erwin Stinstra and Dick Den Hertog ()

European Journal of Operational Research, 2008, vol. 191, issue 3, pages 816-837

Abstract: During metamodel-based optimization three types of implicit errors are typically made. The first error is the simulation-model error, which is defined by the difference between reality and the computer model. The second error is the metamodel error, which is defined by the difference between the computer model and the metamodel. The third is the implementation error. This paper presents new ideas on how to cope with these errors during optimization, in such a way that the final solution is robust with respect to these errors. We apply the robust counterpart theory of Ben-Tal and Nemirovsky to the most frequently used metamodels: linear regression and Kriging models. The methods proposed are applied to the design of two parts of the TV tube. The simulation-model errors receive little attention in the literature, while in practice these errors may have a significant impact due to propagation of such errors.

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European Journal of Operational Research is edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati

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