Robust Nonconvex Optimization for Simulation-based Problems

  title={Robust Nonconvex Optimization for Simulation-based Problems},
  author={Dimitris Bertsimas},
In engineering design, an optimized solution often turns out to be suboptimal, when implementation errors are encountered. While the theory of robust convex optimization has taken significant strides over the past decade, all approaches fail if the underlying cost function is not explicitly given; it is even worse if the cost function is nonconvex. In this work, we present a robust optimization method, which is suited for problems with a nonconvex cost function as well as for problems based on… CONTINUE READING
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