ERGO: a new Robust Design Optimization Technique combining Multi-Objective Bayesian Optimization with Analytical Uncertainty Quantification

In this work, robust design optimization (RDO) is treated, motivated by the increasing desire to account for variability the design phase. The problem is formulated in a multi-objective setting with the objective of simultaneously minimizing the mean of the objective and its variance due to variability of design variables and/or parameters. This allows the designer to choose its robustness level without the need to repeat the optimization as typically encountered when formulated as a single objective. To account for the computational cost that is often encountered in RDO problems, the problem is fitted in a Bayesian optimization framework. The use of surrogate modeling techniques to efficiently solve problems under uncertainty has effectively found its way in the optimization community leading to surrogate-assisted optimization-under-uncertainty schemes. The surrogates are often considered cheap-to-sample black-boxes and are sampled to obtain the desired quantities of interest. However, since the analytical formulation of the surrogates is known, an analytical treatment of the problem is available. To obtain the quantities of interest without sampling an analytical uncertainty propagation through the surrogate is presented. The multi-objective Bayesian optimization framework and the analytical uncertainty quantification are linked together through the formulation of the robust expected improvement (REI), obtaining the novel efficient robust global optimization (ERGO) scheme. The method is tested on a series of test cases to examine its behavior for varying difficulties and validated on an aerodynamic test function which proves the effectiveness of the novel scheme.