A derivative-free trust-region algorithm for reliability-based optimization

Tian Gao

doi:10.1007/s00158-016-1587-y

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A derivative-free trust-region algorithm for reliability-based optimization

2016-09-24

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Tian Gao

Jinglai Li *

DOI：10.1007/s00158-016-1587-y

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Abstract

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In this note, we present a derivative-free trust-region (TR) algorithm for reliability based optimization (RBO) problems. The proposed algorithm consists of solving a set of subproblems, in which simple surrogate models of the reliability constraints are constructed and used in solving the subproblems. Taking advantage of the special structure of the RBO problems, we employ a sample reweighting method to evaluate the failure probabilities, which constructs the surrogate for the reliability constraints by performing only a single full reliability evaluation in each iteration. With numerical experiments, we illustrate that the proposed algorithm is competitive against existing methods.

Keywords:

Derivative free

Trust region

Monte Carlo

Reliability based optimization

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