Hughes, Martin and Goerigk, Marc and Wright, Michael Bruce (2019) A Largest Empty Hypersphere Metaheuristic for Robust Optimisation with Implementation Uncertainty. Computers and Operations Research, 103. pp. 64-80. ISSN 0305-0548
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Abstract
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.