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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - A Largest Empty Hypersphere Metaheuristic for Robust Optimisation with Implementation Uncertainty
AU - Hughes, Martin
AU - Goerigk, Marc
AU - Wright, Michael Bruce
PY - 2019/3
Y1 - 2019/3
N2 - We consider box-constrained robust optimisation problems with implementation uncertainty. In this setting, the solution that a decision maker wants to implement may become perturbed. The aim is to find a solution that optimises the worst possible performance over all possible perturbances.Previously, only few generic search methods have been developed for this setting. We introduce a new approach for a global search, based on placing a largest empty hypersphere. We do not assume any knowledge of the structure of the original objective function, making this approach also viable for simulation-optimisation settings. In computational experiments we demonstrate a strong performance of our approach in comparison with state-of-the-art methods, which makes it possible to solve even high-dimensional problems.
AB - We consider box-constrained robust optimisation problems with implementation uncertainty. In this setting, the solution that a decision maker wants to implement may become perturbed. The aim is to find a solution that optimises the worst possible performance over all possible perturbances.Previously, only few generic search methods have been developed for this setting. We introduce a new approach for a global search, based on placing a largest empty hypersphere. We do not assume any knowledge of the structure of the original objective function, making this approach also viable for simulation-optimisation settings. In computational experiments we demonstrate a strong performance of our approach in comparison with state-of-the-art methods, which makes it possible to solve even high-dimensional problems.
KW - Global optimisation
KW - Implementation uncertainty
KW - Metaheuristics
KW - Robust optimisation
KW - Decision making
KW - Global optimization
KW - Computational experiment
KW - High-dimensional problems
KW - Meta heuristics
KW - Simulation optimisation
KW - State-of-the-art methods
KW - Constrained optimization
U2 - 10.1016/j.cor.2018.10.013
DO - 10.1016/j.cor.2018.10.013
M3 - Journal article
VL - 103
SP - 64
EP - 80
JO - Computers and Operations Research
JF - Computers and Operations Research
SN - 0305-0548
ER -