robust nonlinear optimization

An exact method for a class of robust nonlinear optimization problems

  • Danique de Moor
  • Dick den Hertog
  • Jianzhe Zhen
  • Dimitris Bertsimas
  • Thodoris Koukouvinos
    • Categories Nonlinear Optimization, Robust Optimization Tags , , ,

    We introduce a novel exact approach for addressing a broad spectrum of optimization problems with robust nonlinear constraints. These constraints are defined as sums of products of linear times concave (SLC) functions with respect to the uncertain parameters. Our approach synergizes a cutting set method with reformulation-perspectification techniques and branch and bound. We further extend … Read more

    Robust nonlinear optimization via the dual

  • Dick den Hertog
  • Bram L. Gorissen
    • Categories Robust Optimization Tags

    Robust nonlinear optimization is not as well developed as the linear case, and limited in the constraints and uncertainty sets it can handle. In this work we extend the scope of robust optimization by showing how to solve a large class of robust nonlinear optimization problems. The fascinating and appealing property of our approach is … Read more