Universiteit Leiden

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Model-assisted robust optimization for continuous black-box problems

Uncertainty and noise are frequently-encountered obstacles in real-world applications of numerical optimization. The practice of optimization that deals with uncertainties and noise is commonly referred to as robust optimization.

S. Ullah
27 september 2023
Thesis in Leiden Repository

This thesis concentrates on robust optimization w.r.t the parametric uncertainties

in the search variables. These parametric uncertainties are assumed to be structurally symmetric, additive in nature, and can be modeled in a deterministic or aprobabilistic fashion. This dissertation empirically studies the models, algorithms, and techniques utilized for surrogate-assisted robust optimization in this context. Based on the studies performed in the dissertation, we conclude that Kriging, SVM, and Polynomial Regression are useful modeling techniques to solve robust optimization problems. We also validate the applicability of Autoencoders and PCA for addressing high-dimensional problems. Lastly, we find that mini-max robustness is the most efficient robustness formulation technique in practical scenarios.

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