Theory and Applications of Robust Optimization

In this paper we survey the primary research, both theoretical and applied, in the area of Robust Optimization (RO). Our focus is on the computational attractiveness of RO approaches, as well as the modeling power and broad applicability of the methodology. In addition to surveying prominent theoretical results of RO, we also present some recent results linking RO to adaptable models for multi-stage decision-making problems. Finally, we highlight applications of RO across a wide spectrum of domains, including finance, statistics, learning, and various areas of engineering.Comment: 50 page

Robust Geotechnical Design - Methodology and Applications

This dissertation is aimed at developing a novel robust geotechnical design methodology and demonstrating this methodology for the design of geotechnical systems. The goal of a robust design is to make the response of a system insensitive to, or robust against, the variation of uncertain geotechnical parameters (termed noise factors in the context of robust design) by carefully adjusting design parameters (those that can be controlled by the designer such as geometry of the design). Through an extensive investigation, a robust geotechnical design methodology that considers explicitly safety, robustness, and cost is developed. Various robustness measures are considered in this study, and the developed methodology is implemented with a multi-objective optimization scheme, in which safety is considered as a constraint and cost and robustness are treated as the objectives. Because the cost and the robustness are conflicting objectives, the robust design optimization does not yield a single best solution. Rather, a Pareto front is obtained, which is a collection of non-dominated optimal designs. The Pareto front reveals a trade-off relationship between cost and robustness, which enables the engineer to make an informed design decision according to a target level of cost or robustness. The significance and versatility of the new design methodology are illustrated with multiple geotechnical applications, including the design of drilled shafts, shallow foundations, and braced excavations

Robust Principal Component Analysis?

This paper is about a curious phenomenon. Suppose we have a data matrix, which is the superposition of a low-rank component and a sparse component. Can we recover each component individually? We prove that under some suitable assumptions, it is possible to recover both the low-rank and the sparse components exactly by solving a very convenient convex program called Principal Component Pursuit; among all feasible decompositions, simply minimize a weighted combination of the nuclear norm and of the L1 norm. This suggests the possibility of a principled approach to robust principal component analysis since our methodology and results assert that one can recover the principal components of a data matrix even though a positive fraction of its entries are arbitrarily corrupted. This extends to the situation where a fraction of the entries are missing as well. We discuss an algorithm for solving this optimization problem, and present applications in the area of video surveillance, where our methodology allows for the detection of objects in a cluttered background, and in the area of face recognition, where it offers a principled way of removing shadows and specularities in images of faces

Recent activities within the Aeroservoelasticity Branch at the NASA Langley Research Center

The objective of research in aeroservoelasticity at the NASA Langley Research Center is to enhance the modeling, analysis, and multidisciplinary design methodologies for obtaining multifunction digital control systems for application to flexible flight vehicles. Recent accomplishments are discussed, and a status report on current activities within the Aeroservoelasticity Branch is presented. In the area of modeling, improvements to the Minimum-State Method of approximating unsteady aerodynamics are shown to provide precise, low-order aeroservoelastic models for design and simulation activities. Analytical methods based on Matched Filter Theory and Random Process Theory to provide efficient and direct predictions of the critical gust profile and the time-correlated gust loads for linear structural design considerations are also discussed. Two research projects leading towards improved design methodology are summarized. The first program is developing an integrated structure/control design capability based on hierarchical problem decomposition, multilevel optimization and analytical sensitivities. The second program provides procedures for obtaining low-order, robust digital control laws for aeroelastic applications. In terms of methodology validation and application the current activities associated with the Active Flexible Wing project are reviewed

A new hybrid method for size and topology optimization of truss structures using modified ALGA and QPGA

Modified Augmented Lagrangian Genetic Algorithm (ALGA) and Quadratic Penalty Function Genetic Algorithm (QPGA) optimization methods are proposed to obtain truss structures with minimum structural weight using both continuous and discrete design variables. To achieve robust solutions, Compressed Sparse Row (CSR) with reordering of Cholesky factorization and Moore Penrose Pseudoinverse are used in case of non-singular and singular stiffness matrix, respectively. The efficiency of the proposed nonlinear optimization methods is demonstrated on several practical examples. The results obtained from the Pratt truss bridge show that the optimum design solution using discrete parameters is 21% lighter than the traditional design with uniform cross sections. Similarly, the results obtained from the 57-bar planar tower truss indicate that the proposed design method using continuous and discrete design parameters can be up to 29% and 9% lighter than traditional design solutions, respectively. Through sensitivity analysis, it is shown that the proposed methodology is robust and leads to significant improvements in convergence rates, which should prove useful in large-scale applications

Likelihood-Based Inference for Discretely Observed Birth-Death-Shift Processes, with Applications to Evolution of Mobile Genetic Elements

Continuous-time birth-death-shift (BDS) processes are frequently used in stochastic modeling, with many applications in ecology and epidemiology. In particular, such processes can model evolutionary dynamics of transposable elements - important genetic markers in molecular epidemiology. Estimation of the effects of individual covariates on the birth, death, and shift rates of the process can be accomplished by analyzing patient data, but inferring these rates in a discretely and unevenly observed setting presents computational challenges. We propose a mutli-type branching process approximation to BDS processes and develop a corresponding expectation maximization (EM) algorithm, where we use spectral techniques to reduce calculation of expected sufficient statistics to low dimensional integration. These techniques yield an efficient and robust optimization routine for inferring the rates of the BDS process, and apply more broadly to multi-type branching processes where rates can depend on many covariates. After rigorously testing our methodology in simulation studies, we apply our method to study intrapatient time evolution of IS6110 transposable element, a frequently used element during estimation of epidemiological clusters of Mycobacterium tuberculosis infections.Comment: 31 pages, 7 figures, 1 tabl

On the Selection of Tuning Methodology of FOPID Controllers for the Control of Higher Order Processes

In this paper, a comparative study is done on the time and frequency domain tuning strategies for fractional order (FO) PID controllers to handle higher order processes. A new fractional order template for reduced parameter modeling of stable minimum/non-minimum phase higher order processes is introduced and its advantage in frequency domain tuning of FOPID controllers is also presented. The time domain optimal tuning of FOPID controllers have also been carried out to handle these higher order processes by performing optimization with various integral performance indices. The paper highlights on the practical control system implementation issues like flexibility of online autotuning, reduced control signal and actuator size, capability of measurement noise filtration, load disturbance suppression, robustness against parameter uncertainties etc. in light of the above tuning methodologies.Comment: 27 pages, 10 figure

Non-Convex Rank Minimization via an Empirical Bayesian Approach

In many applications that require matrix solutions of minimal rank, the underlying cost function is non-convex leading to an intractable, NP-hard optimization problem. Consequently, the convex nuclear norm is frequently used as a surrogate penalty term for matrix rank. The problem is that in many practical scenarios there is no longer any guarantee that we can correctly estimate generative low-rank matrices of interest, theoretical special cases notwithstanding. Consequently, this paper proposes an alternative empirical Bayesian procedure build upon a variational approximation that, unlike the nuclear norm, retains the same globally minimizing point estimate as the rank function under many useful constraints. However, locally minimizing solutions are largely smoothed away via marginalization, allowing the algorithm to succeed when standard convex relaxations completely fail. While the proposed methodology is generally applicable to a wide range of low-rank applications, we focus our attention on the robust principal component analysis problem (RPCA), which involves estimating an unknown low-rank matrix with unknown sparse corruptions. Theoretical and empirical evidence are presented to show that our method is potentially superior to related MAP-based approaches, for which the convex principle component pursuit (PCP) algorithm (Candes et al., 2011) can be viewed as a special case.Comment: 10 pages, 6 figures, UAI 2012 pape

Features for Exploiting Black-Box Optimization Problem Structure.

Abell T, Malitsky Y, Tierney K. Features for Exploiting Black-Box Optimization Problem Structure. In: Nicosia G, Pardalos P, eds. Learning and Intelligent Optimization: 7th International Conference, LION 7, Catania, Italy, January 7-11, 2013, Revised Selected Papers. Lecture Notes in Computer Science. Vol 7997. Berlin, Heidelberg: Springer Berlin Heidelberg; 2013: 30-36.Black-box optimization (BBO) problems arise in numerous scientific and engineering applications and are characterized by computationally intensive objective functions, which severely limit the number of evaluations that can be performed. We present a robust set of features that analyze the fitness landscape of BBO problems and show how an algorithm portfolio approach can exploit these general, problem independent, features and outperform the utilization of any single minimization search strategy. We test our methodology on data from the GECCO Workshop on BBO Benchmarking 2012, which contains 21 state-of-the-art solvers run on 24 well-established functions