Nonconvex Robust Optimization for Problems with Constraints

作者：Bertsimas Dimitris^*; Nohadani Omid; Teo Kwong Meng

来源：INFORMS Journal on Computing, 2010, 22(1): 44-58.

DOI：10.1287/ijoc.1090.0319

• optimization
• robust optimization
• nonconvex optimization
• constraints

We propose a new robust optimization method for problems with objective functions that may be computed via numerical simulations and incorporate constraints that need to be feasible under perturbations. The proposed method iteratively moves along descent directions for the robust problem with nonconvex constraints and terminates at a robust local minimum. We generalize the algorithm further to model parameter uncertainties. We demonstrate the practicability of the method in a test application on a nonconvex problem with a polynomial cost function as well as in a real-world application to the optimization problem of intensity-modulated radiation therapy for cancer treatment. The method significantly improves the robustness for both designs.

• 出版日期2010