A survey of nonlinear robust optimization

Abstract

Robust optimization (RO) has attracted much attention from the optimization community over the past decade. RO is dedicated to solving optimization problems subject to uncertainty: design constraints must be satisfied for all the values of the uncertain parameters within a given uncertainty set. Uncertainty sets may be modeled as deterministic sets (boxes, polyhedra, ellipsoids), in which case the RO problem may be reformulated via worst-case analysis, or as families of distributions. The challenge of RO is to reformulate or approximate robust constraints so that the uncertain optimization problem is transformed into a tractable deterministic optimization problem. Most reformulation methods assume linearity of the robust constraints or uncertainty sets of favorable shape, which represents only a fraction of real-world applications. This survey addresses nonlinear RO and includes problem formulations and applications, solution approaches, and available software with code samples.