Surrogate feasibility testing–cutting for single-objective robust optimization under interval uncertainty

Abstract

A robust optimum solution is defined as one that is optimum and maintains its feasibility regardless of the values taken by uncertain parameters within a bounded interval. Solving for a robust optimum solution, however, can be computationally costly. To reduce the computational cost, a new robust optimization method, surrogate feasibility testing–cutting robust optimization (SFTC-RO), is proposed that solves two optimization subproblems. In the first subproblem, a scenario robust optimization problem is solved using a local optimization technique. In the second subproblem, a feasibility check and constraint cut of the feasible domain are performed via operations on a surrogate model of the constraints. The two subproblems are iteratively solved until convergence at a robust optimum solution. Results from numerical and engineering examples show that on average the proposed method can obtain robust optimal solutions at a lower computational cost and with better scalability than an existing method from the literature.