Robust Optimization Using Computer Experiments

CentER Discussion Paper Series No. 2005-90

28 Pages Posted: 15 Sep 2005

See all articles by Erwin Stinstra

Erwin Stinstra

Centre for Quantitative Methods

Dick den Hertog

Tilburg University - Department of Econometrics & Operations Research

Date Written: July 2005

Abstract

During metamodel-based optimization three types of implicit errors are typically made.The first error is the simulation-model error, which is defined by the difference between reality and the computer model.The second error is the metamodel error, which is defined by the difference between the computer model and the metamodel.The third is the implementation error.This paper presents new ideas on how to cope with these errors during optimization, in such a way that the final solution is robust with respect to these errors.We apply the robust counterpart theory of Ben-Tal and Nemirovsky to the most frequently used metamodels: linear regression and Kriging models.The methods proposed are applied to the design of two parts of the TV tube.The simulationmodel errors receive little attention in the literature, while in practice these errors may have a significant impact due to propagation of such errors.

Keywords: computer simulation; robust counterpart; simulation-model error; implementation error; metamodel error

JEL Classification: C61, C15

Suggested Citation

Stinstra, Erwin and den Hertog, Dick, Robust Optimization Using Computer Experiments (July 2005). CentER Discussion Paper Series No. 2005-90. Available at SSRN: https://ssrn.com/abstract=800404 or http://dx.doi.org/10.2139/ssrn.800404

Erwin Stinstra (Contact Author)

Centre for Quantitative Methods ( email )

5600 AK Eindhoven
Netherlands

Dick Den Hertog

Tilburg University - Department of Econometrics & Operations Research ( email )

Tilburg, 5000 LE
Netherlands

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