Department of Industrial & Systems Engineering

SEMINAR

on

Nonconvex Robust Optimization
 
Speaker(s)
Dr Teo Kwong Meng, Operations Research Centre, Massachusetts Institute of Technology

Date
03-04-2009

Time
14:00 p.m. to 15:30 p.m.

Venue
Faculty of Engineering, Seminar Room EA-06-03, NUS

Abstract
We propose a novel robust optimization technique, which is applicable to nonconvex and simulation-based problems. Robust optimization finds decisions with the best worst-case performance under uncertainty. If constraints are present, decisions should also be feasible under perturbations. In the real-world, many problems are nonconvex and involve computer-based simulations. In these applications, the relationship between decision and outcome is not defined through algebraic functions. Instead, that relationship is embedded within complex numerical models. However, current robust optimization methods are limited to convex problems and, consequently, cannot be applied to many practical problems.

Our proposed method operates directly on the surface of the objective function. Therefore, the technique is generic and, thus, applicable to most real-world problems. It iteratively moves along descent directions for the robust problem, and terminates at a robust local minimum. Because the concepts of descent directions and local minima form the building blocks of powerful optimization techniques, our proposed framework shares the same potential, but for the richer, and more realistic, robust problem. To admit additional considerations including parameter uncertainties and nonconvex constraints, we generalized the basic robust local search. In each case, only minor modifications are required - a testimony to the generic nature of the method, and its potential to be a component of future robust optimization techniques.

We demonstrated the generality of the robust local search technique in two real-world applications: nanophotonic design and Intensity Modulated Radiation Therapy (IMRT) for cancer treatment. In both cases, the numerical models are verified by actual experiments. The method significantly improved the robustness of both designs, showcasing the relevance of robust optimization to real-world problems.


Biography
Dr Teo Kwong Meng obtained his PhD in Operations Research from MIT’s Operations Research Center, Sloan School of Management in 2007. He has also received a MSc in High Performance Computation from Singapore-MIT Alliance (SMA), a MSc in Electrical Engineering (Communications) from NUS and a BEng (1st Class Hons.) in Electrical & Electronics Engineering from the University of Manchester Institute of Science & Technology (UMIST), UK. Besides holding adjunct lecturing and research positions in SMU and NUS, Dr Teo currently participates in operations research, supply chain and IT-related consulting projects in Singapore. Before his PhD studies, Dr Teo worked in Savi Technology where, as the head of pre-sales consulting in Asia, he configured RFID and vehicle routing/scheduling solutions for supply chains operations. Prior to his MSc studies in SMA, Dr Teo worked on command and control systems in Singapore’s Ministry of Defence. Besides managing, procuring and deploying multi-million dollar projects, he had the opportunity to evaluate a wide spectrum of communications technologies and systems. His appointment in MINDEF was in fulfillment towards his Overseas Merit Scholarship’s bond.

Information
Email: iseowlc@nus.edu.sg
Fax 6777-1434