Kwong Meng Teo

Nonconvex Robust Optimization

  • Kwong Meng Teo
    • Categories Applications - Science and Engineering, Constrained Nonlinear Optimization, Robust Optimization Tags , , , , , ,

    We propose a novel robust optimization technique, which is applicable to nonconvex and simulation-based problems. Robust optimization finds decisions with the best worst-case performance under uncertainty. If constraints are present, decisions should also be feasible under perturbations. In the real-world, many problems are nonconvex and involve computer-based simulations. In these applications, the relationship between decision … Read more

    Robust Nonconvex Optimization for Simulation-based Problems

  • Dimitris Bertsimas
  • Kwong Meng Teo
  • Omid Nohadani
    • Categories Optimization of Simulated Systems, Optimization of Systems modeled by PDEs, Robust Optimization

    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 … Read more