Nonconvex robust optimization for problems with constraints

Dimitris Bertsimas*, Omid Nohadani, Kwong Meng Teo

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

48 Scopus citations

Abstract

We propose a new robust optimization method for problems with objective functions that may be computed via numerical simulations and incorporate constraints that need to be feasible under perturbations. The proposed method iteratively moves along descent directions for the robust problem with nonconvex constraints and terminates at a robust local minimum.We generalize the algorithm further to model parameter uncertainties. We demonstrate the practicability of the method in a test application on a nonconvex problem with a polynomial cost function as well as in a real-world application to the optimization problem of intensity-modulated radiation therapy for cancer treatment. The method significantly improves the robustness for both designs.

Original languageEnglish (US)
Pages (from-to)44-58
Number of pages15
JournalINFORMS Journal on Computing
Volume22
Issue number1
DOIs
StatePublished - Dec 2010

Keywords

  • Constraints
  • Nonconvex optimization
  • Optimization
  • Robust optimization

ASJC Scopus subject areas

  • Software
  • Information Systems
  • Computer Science Applications
  • Management Science and Operations Research

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