An interval branch and bound method for global Robust optimization

Emilio Carrizosa () and Frédéric Messine ()
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Emilio Carrizosa: IMUS-Instituto de Matemáticas de la Universidad de Sevilla
Frédéric Messine: Université de Toulouse, LAPLACE (CNRS UMR5213), ENSEEIHT-Toulouse INP

Journal of Global Optimization, 2021, vol. 80, issue 3, No 1, 507-522

Abstract: Abstract 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.

Keywords: Robust optimization; Interval arithmetic; Branch and bound (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s10898-021-01010-5

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