A Newton-Based Perturbation Method for a Robust Inverse Optimization Problem
نویسندگان
چکیده
In this paper, we aim to solve an inverse robust optimization problem, in which the parameters in both the objective function and the robust constraint set need to be adjusted as little as possible so that a known feasible solution becomes the optimal one. We formulate this inverse problem as a minimization problem with a linear equality constraint, a second-order cone complementarity constraint and a linear complementarity constraint. A perturbation approach is constructed to solve the inverse problem. An inexact Newton method with Armijo line search is applied to solve the perturbed problem. Finally, the numerical results are reported to show the effectiveness of the approach.
منابع مشابه
A class of multi-agent discrete hybrid non linearizable systems: Optimal controller design based on quasi-Newton algorithm for a class of sign-undefinite hessian cost functions
In the present paper, a class of hybrid, nonlinear and non linearizable dynamic systems is considered. The noted dynamic system is generalized to a multi-agent configuration. The interaction of agents is presented based on graph theory and finally, an interaction tensor defines the multi-agent system in leader-follower consensus in order to design a desirable controller for the noted system. A...
متن کاملAn infeasible interior-point method for the $P*$-matrix linear complementarity problem based on a trigonometric kernel function with full-Newton step
An infeasible interior-point algorithm for solving the$P_*$-matrix linear complementarity problem based on a kernelfunction with trigonometric barrier term is analyzed. Each (main)iteration of the algorithm consists of a feasibility step andseveral centrality steps, whose feasibility step is induced by atrigonometric kernel function. The complexity result coincides withthe best result for infea...
متن کاملSIZING OPTIMIZATION OF TRUSS STRUCTURES WITH NEWTON META-HEURISTIC ALGORITHM
This study is devoted to discrete sizing optimization of truss structures employing an efficient discrete evolutionary meta-heuristic algorithm which uses the Newton gradient-based method as its updating scheme and it is named here as Newton Meta-heuristic Algorithm (NMA). In order to enable the NMA population-based meta-heuristic to effectively explore the discrete design space, a term contain...
متن کاملSimultaneous Perturbation Newton Algorithms for Simulation Optimization
We present a new Hessian estimator based on the simultaneous perturbation procedure, that requires three system simulations regardless of the parameter dimension. We then present two Newton-based simulation optimization algorithms that incorporate this Hessian estimator. The two algorithms differ primarily in the manner in which the Hessian estimate is used. Both our algorithms do not compute t...
متن کاملGENERALIZED FLEXIBILITY-BASED MODEL UPDATING APPROACH VIA DEMOCRATIC PARTICLE SWARM OPTIMIZATION ALGORITHM FOR STRUCTURAL DAMAGE PROGNOSIS
This paper presents a new model updating approach for structural damage localization and quantification. Based on the Modal Assurance Criterion (MAC), a new damage-sensitive cost function is introduced by employing the main diagonal and anti-diagonal members of the calculated Generalized Flexibility Matrix (GFM) for the monitored structure and its analytical model. Then, ...
متن کامل