TY - JOUR
T1 - Expected improvement based infill sampling for global robust optimization of constrained problems
AU - Rehman, Samee
AU - Langelaar, Matthijs
PY - 2017
Y1 - 2017
N2 - A novel adaptive sampling scheme for efficient global robust optimization of constrained problems is proposed. The method addresses expensive to simulate black-box constrained problems affected by uncertainties for which only the bounds are known, while the probability distribution is not available. An iterative strategy for global robust optimization that adaptively samples the Kriging metamodel of the computationally expensive problem is proposed. The presented approach is tested on several benchmark problems and the average performance based on 100 runs is evaluated. The applicability of the method to engineering problems is also illustrated by applying robust optimization on an integrated photonic device affected by manufacturing uncertainties. The numerical results show consistent convergence to the global robust optimum using a limited number of expensive simulations.
AB - A novel adaptive sampling scheme for efficient global robust optimization of constrained problems is proposed. The method addresses expensive to simulate black-box constrained problems affected by uncertainties for which only the bounds are known, while the probability distribution is not available. An iterative strategy for global robust optimization that adaptively samples the Kriging metamodel of the computationally expensive problem is proposed. The presented approach is tested on several benchmark problems and the average performance based on 100 runs is evaluated. The applicability of the method to engineering problems is also illustrated by applying robust optimization on an integrated photonic device affected by manufacturing uncertainties. The numerical results show consistent convergence to the global robust optimum using a limited number of expensive simulations.
KW - Efficient global optimization
KW - Expected improvement
KW - Kriging
KW - Robust optimization
UR - http://resolver.tudelft.nl/uuid:50d919e3-ba70-4768-92f3-31471bcf58c0
UR - http://www.scopus.com/inward/record.url?scp=85010739511&partnerID=8YFLogxK
U2 - 10.1007/s11081-016-9346-x
DO - 10.1007/s11081-016-9346-x
M3 - Article
AN - SCOPUS:85010739511
SN - 1389-4420
VL - 18
SP - 723
EP - 753
JO - Optimization and Engineering
JF - Optimization and Engineering
IS - 3
ER -