A certified Branch & Bound approach for reliability-based optimization problems

Benjamin Martin, Marco Correia, Jorge Cruz

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

Reliability-based optimization problems are optimization problems considering a constraint that measures reliability of the modelled system: the probability of a safety event with respect to controllable decision variables and uncertain random variables. Most solving approaches use approximate techniques for evaluating this reliability constraint. As a consequence, the reliability of the computed optimal decision is not guaranteed. In this paper, we investigate an interval-based Branch & Bound for solving globally reliability-based optimization problems with numerical guarantee. It combines an interval Branch & Bound framework with a certified reliability analysis technique. This technique considers the reliability constraint and induced safety region modelled within Probabilistic Continuous Constraint Programming paradigm. The certified reliability analysis is numerically handled by an interval quadrature algorithm. In addition, a new interval quadrature function for two random variables, based on linear models of the safety region is described. Two implementations of the Branch & Bound, which differ on how the certified reliability analysis is handled throughout the optimization process, are presented. A numerical study of these two variants shows the relevance of the interval linear model-based quadrature function.

Original languageEnglish
Pages (from-to)461-484
Number of pages24
JournalJournal of Global Optimization
Volume69
Issue number2
DOIs
Publication statusPublished - 1 Oct 2017

Keywords

  • Branch & Bound
  • Interval analysis
  • Probabilistic constraints
  • Reliability-based optimization

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