Robust optimization based on analytical evaluation of uncertainty propagation

Omid Nejadseyfi (Corresponding Author), Hubertus J.M. Geijselaers, Antonius H. van den Boogaard

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    Abstract

    Optimization under uncertainty requires proper handling of those input parameters that contain scatter. Scatter in input parameters propagates through the process and causes scatter in the output. Stochastic methods (e.g. Monte Carlo) are very popular for assessing uncertainty propagation using black-box function metamodels. However, they are expensive. Therefore, in this article a direct method of calculating uncertainty propagation has been employed based on the analytical integration of a metamodel of a process. Analytical handling of noise variables not only improves the accuracy of the results but also provides the gradients of the output with respect to input variables. This is advantageous in the case of gradient-based optimization. Additionally, it is shown that the analytical approach can be applied during sequential improvement of the metamodel to obtain a more accurate representative model of the black-box function and to enhance the search for the robust optimum.
    Original languageEnglish
    Number of pages23
    JournalEngineering Optimization
    Volume51
    Issue number9
    Early online date20 Nov 2018
    DOIs
    Publication statusPublished - 2 Sep 2019

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    Keywords

    • UT-Hybrid-D
    • Sensitivity analysis
    • Uncertainty modelling
    • Sequential Optimization
    • metamodel based optimization
    • robustness

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