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A certified Branch & Bound approach for reliability-based optimization problems

Author

Listed:
  • Benjamin Martin

    (Universidade Nova de Lisboa
    École Polytechnique)

  • Marco Correia

    (Universidade Nova de Lisboa)

  • Jorge Cruz

    (Universidade Nova de Lisboa)

Abstract

Reliability-based optimization problems are optimization problems considering a constraint that measures reliability of the modelled system: the probability of a safety event with respect to controllable decision variables and uncertain random variables. Most solving approaches use approximate techniques for evaluating this reliability constraint. As a consequence, the reliability of the computed optimal decision is not guaranteed. In this paper, we investigate an interval-based Branch & Bound for solving globally reliability-based optimization problems with numerical guarantee. It combines an interval Branch & Bound framework with a certified reliability analysis technique. This technique considers the reliability constraint and induced safety region modelled within Probabilistic Continuous Constraint Programming paradigm. The certified reliability analysis is numerically handled by an interval quadrature algorithm. In addition, a new interval quadrature function for two random variables, based on linear models of the safety region is described. Two implementations of the Branch & Bound, which differ on how the certified reliability analysis is handled throughout the optimization process, are presented. A numerical study of these two variants shows the relevance of the interval linear model-based quadrature function.

Suggested Citation

  • Benjamin Martin & Marco Correia & Jorge Cruz, 2017. "A certified Branch & Bound approach for reliability-based optimization problems," Journal of Global Optimization, Springer, vol. 69(2), pages 461-484, October.
    • Handle: RePEc:spr:jglopt:v:69:y:2017:i:2:d:10.1007_s10898-017-0529-6
    DOI: 10.1007/s10898-017-0529-6
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    References listed on IDEAS

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    1. Norbert Kuschel & Rüdiger Rackwitz, 1997. "Two basic problems in reliability-based structural optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 46(3), pages 309-333, October.
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    Cited by:

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