A branch and bound method for global robust optimization
Abstract
In this paper, we study general nonlinear and nonconvex robust optimization problems. This leads us to create a Branch and Bound algorithm based on interval arithmetic. This algorithm can provide the exact global solution of such difficult problems arising in many real life applications. A code was developed in MatLab and was used to solve some small robust nonconvex problems with a few number of variables. This first numerical study showed the interest of this approach providing global optimum of such difficult robust nonconvex optimization problems.