A method for stochastic constrained optimization using derivative-free surrogate pattern search and collocation

  • Authors:

  • Sethuraman Sankaran;Charles Audet;Alison L. Marsden

  • Affiliations:

  • Department of Mechanical and Aerospace Engineering, EBU II 569, University of California San Diego, La Jolla, CA 92093-0411, USA;GERAD and Département de mathématiques et de génie industriel, ícole Polytechnique de Montréal, C.P. 6079, Succ. Centre-ville, Montréal (Québec), Canada H3C 3A7;Department of Mechanical and Aerospace Engineering, EBU II 569, University of California San Diego, La Jolla, CA 92093-0411, USA

  • Venue:
  • Journal of Computational Physics
  • Year:
  • 2010

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Abstract

Recent advances in coupling novel optimization methods to large-scale computing problems have opened the door to tackling a diverse set of physically realistic engineering design problems. A large computational overhead is associated with computing the cost function for most practical problems involving complex physical phenomena. Such problems are also plagued with uncertainties in a diverse set of parameters. We present a novel stochastic derivative-free optimization approach for tackling such problems. Our method extends the previously developed surrogate management framework (SMF) to allow for uncertainties in both simulation parameters and design variables. The stochastic collocation scheme is employed for stochastic variables whereas Kriging based surrogate functions are employed for the cost function. This approach is tested on four numerical optimization problems and is shown to have significant improvement in efficiency over traditional Monte-Carlo schemes. Problems with multiple probabilistic constraints are also discussed.