TY - JOUR
T1 - A certified Branch & Bound approach for reliability-based optimization problems
AU - Martin, Benjamin
AU - Correia, Marco
AU - Cruz, Jorge
N1 - sem pdf conforme despacho.
Portuguese Foundation for Science and Technology - PTDC/EEI-CTP/1403/2012
PY - 2017/10/1
Y1 - 2017/10/1
N2 - 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.
AB - 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.
KW - Branch & Bound
KW - Interval analysis
KW - Probabilistic constraints
KW - Reliability-based optimization
UR - http://www.scopus.com/inward/record.url?scp=85019076397&partnerID=8YFLogxK
U2 - 10.1007/s10898-017-0529-6
DO - 10.1007/s10898-017-0529-6
M3 - Article
AN - SCOPUS:85019076397
SN - 0925-5001
VL - 69
SP - 461
EP - 484
JO - Journal of Global Optimization
JF - Journal of Global Optimization
IS - 2
ER -