A Largest Empty Hypersphere Metaheuristic for Robust Optimisation with Implementation Uncertainty [article]

Martin Hughes, Marc Goerigk, Michael Wright
2018 arXiv   pre-print
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
more » ... n 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.
arXiv:1809.02437v1 fatcat:duffpeia7nfnhn6dfq4pin4som