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Adjustable Robust Parameter Design with Unknown Distributions

ihsan Yanikoglu(i.yanikoglu***at***uvt.nl)
Dick den Hertog(d.denhertog***at***uvt.nl)
Jack P.C. Kleijnen(kleijnen***at***uvr.nl)

Abstract: This article presents a novel combination of robust optimization developed in mathematical programming, and robust parameter design developed in statistical quality control. Robust parameter design uses metamodels estimated from experiments with both controllable and environmental inputs (factors). These experiments may be performed with either real or simulated systems; we focus on simulation experiments. For the environmental inputs, classic robust parameter design assumes known means and covariances, and sometimes even a known distribution. We, however, develop a robust optimization approach that uses only experimental data, so it does not need these classic assumptions. Moreover, we develop `adjustable' robust parameter design which adjusts the values of some or all of the controllable factors after observing the values of some or all of the environmental inputs. We also propose a new decision rule that is suitable for adjustable integer decision variables. We illustrate our novel method through several numerical examples, which demonstrate its effectiveness.}

Keywords: robust optimization; simulation optimization; robust parameter design; phi-divergence

Category 1: Robust Optimization

Citation: CentER Discussion Paper 2013-22, Tilburg University, Netherlands

Download: [PDF]

Entry Submitted: 03/27/2013
Entry Accepted: 03/27/2013
Entry Last Modified: 03/27/2013

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