Robust optimization with simulated annealing

Dimitris Bertsimas, Omid Nohadani*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

61 Scopus citations

Abstract

Complex systems can be optimized to improve the performance with respect to desired functionalities. An optimized solution, however, can become suboptimal or even infeasible, when errors in implementation or input data are encountered. We report on a robust simulated annealing algorithm that does not require any knowledge of the problems structure. This is necessary in many engineering applications where solutions are often not explicitly known and have to be obtained by numerical simulations. While this nonconvex and global optimization method improves the performance as well as the robustness, it also warrants for a global optimum which is robust against data and implementation uncertainties. We demonstrate it on a polynomial optimization problem and on a high-dimensional and complex nanophotonic engineering problem and show significant improvements in efficiency as well as in actual optimality.

Original languageEnglish (US)
Pages (from-to)323-334
Number of pages12
JournalJournal of Global Optimization
Volume48
Issue number2
DOIs
StatePublished - Oct 1 2010

Keywords

  • Global optimization
  • Nonconvex optimization
  • Robust optimization
  • Simulated annealing

ASJC Scopus subject areas

  • Computer Science Applications
  • Control and Optimization
  • Management Science and Operations Research
  • Applied Mathematics

Fingerprint Dive into the research topics of 'Robust optimization with simulated annealing'. Together they form a unique fingerprint.

Cite this