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Better Optimization of Nonlinear Uncertain Systems (BONUS): A New Algorithm for Stochastic Programming Using Reweighting through Kernel Density Estimation

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  • Kemal Sahin
  • Urmila Diwekar

Abstract

A new nonlinear programming algorithm is proposed for stochastic programming problems. This method relies on sampling to estimate the probabilistic objective function and constraints. The computational burden of excessive model calculations for determining the search direction is bypassed through a reweighting method using Kernel Density Estimation. The improvements accomplished by this algorithm called Better Optimization of Nonlinear Uncertain Systems (BONUS) are presented through two real world case studies involving parameter design for off-line quality control of a chemical reactor, and optimal capacity expansion for electric utilities in uncertain markets. Copyright Kluwer Academic Publishers 2004

Suggested Citation

  • Kemal Sahin & Urmila Diwekar, 2004. "Better Optimization of Nonlinear Uncertain Systems (BONUS): A New Algorithm for Stochastic Programming Using Reweighting through Kernel Density Estimation," Annals of Operations Research, Springer, vol. 132(1), pages 47-68, November.
    • Handle: RePEc:spr:annopr:v:132:y:2004:i:1:p:47-68:10.1023/b:anor.0000045276.18995.c8
    DOI: 10.1023/B:ANOR.0000045276.18995.c8
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    Cited by:

    1. Salazar, Juan M. & Diwekar, Urmila & Constantinescu, Emil & Zavala, Victor M., 2013. "Stochastic optimization approach to water management in cooling-constrained power plants," Applied Energy, Elsevier, vol. 112(C), pages 12-22.
    2. Pablo T. Rodriguez-Gonzalez & Vicente Rico-Ramirez & Ramiro Rico-Martinez & Urmila M. Diwekar, 2019. "A New Approach to Solving Stochastic Optimal Control Problems," Mathematics, MDPI, vol. 7(12), pages 1-13, December.
    3. Rajib Mukherjee & Urmila M. Diwekar, 2021. "Optimizing TEG Dehydration Process under Metamodel Uncertainty," Energies, MDPI, vol. 14(19), pages 1-20, September.
    4. Sen, Pallabi & Sen, Kinnar & Diwekar, Urmila M., 2016. "A multi-objective optimization approach to optimal sensor location problem in IGCC power plants," Applied Energy, Elsevier, vol. 181(C), pages 527-539.
    5. Adarsh Vaderobli & Dev Parikh & Urmila Diwekar, 2020. "Optimization under Uncertainty to Reduce the Cost of Energy for Parabolic Trough Solar Power Plants for Different Weather Conditions," Energies, MDPI, vol. 13(12), pages 1-17, June.
    6. Lee, Adrian J. & Diwekar, Urmila M., 2012. "Optimal sensor placement in integrated gasification combined cycle power systems," Applied Energy, Elsevier, vol. 99(C), pages 255-264.

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