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Robust Optimization Using Computer Experiments

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  • Stinstra, E.
  • Hertog, D. den

    (Tilburg University, Center for Economic Research)

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    Abstract

    During metamodel-based optimization three types of implicit errors are typically made.The first error is the simulation-model error, which is defined by the difference between reality and the computer model.The second error is the metamodel error, which is defined by the difference between the computer model and the metamodel.The third is the implementation error.This paper presents new ideas on how to cope with these errors during optimization, in such a way that the final solution is robust with respect to these errors.We apply the robust counterpart theory of Ben-Tal and Nemirovsky to the most frequently used metamodels: linear regression and Kriging models.The methods proposed are applied to the design of two parts of the TV tube.The simulationmodel errors receive little attention in the literature, while in practice these errors may have a significant impact due to propagation of such errors.

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    Bibliographic Info

    Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2005-90.

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    Date of creation: 2005
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    Handle: RePEc:dgr:kubcen:200590

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    Web page: http://center.uvt.nl

    Related research

    Keywords: computer simulation; robust counterpart; simulation-model error; implementation error; metamodel error;

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    1. Hertog, D. den & Klerk, E. de & Roos, C., 2002. "On convex quadratic approximation," Open Access publications from Tilburg University urn:nbn:nl:ui:12-226110, Tilburg University.
    2. Sturm, J.F., 2002. "Implementation of Interior Point Methods for Mixed Semidefinite and Second Order Cone Optimization Problems," Discussion Paper 2002-73, Tilburg University, Center for Economic Research.
    3. Hertog, D. den & Kleijnen, J.P.C. & Siem, A.Y.D., 2004. "The Correct Kriging Variance Estimated by Bootstrapping," Discussion Paper 2004-46, Tilburg University, Center for Economic Research.
    4. den Hertog, Dick & Stehouwer, Peter, 2002. "Optimizing color picture tubes by high-cost nonlinear programming," European Journal of Operational Research, Elsevier, vol. 140(2), pages 197-211, July.
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