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Robust Dual Response Optimization

İhsan Yanıkoğly(ihsan.yanikoglu***at***ozyegin.edu.tr)
Dick den Hertog(d.denhertog***at***uvt.nl)
Jack Kleijnen(kleijnen***at***uvt.nl)

Abstract: This article presents a robust optimization reformulation of the dual response problem developed in response surface methodology. The dual response approach fits separate models for the mean and the variance, and analyzes these two models in a mathematical optimization setting. We use metamodels estimated from experiments with both controllable and environmental inputs. These experiments may be performed with either real or simulated systems; we focus on simulation experiments. For the environmental inputs, classic approaches assume known means, variances or covariances, and sometimes even a known distribution. We, however, develop a method that uses only experimental data, so it does not need a known probability distribution. Moreover, our approach yields a solution that is robust against the ambiguity in the probability distribution. We also propose an adjustable robust optimization method that enables adjusting the values of the controllable factors after observing the values of the environmental factors. We illustrate our novel methods through several numerical examples, which demonstrate their effectiveness.

Keywords: robust optimization; dual response optimization; simulation optimization; phi-divergence

Category 1: Applications -- OR and Management Sciences

Category 2: Nonlinear Optimization

Category 3: Robust Optimization

Citation: IIE Transactions. 2015 (to appear)

Download: [PDF]

Entry Submitted: 08/08/2015
Entry Accepted: 08/08/2015
Entry Last Modified: 08/08/2015

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