Derivative-Free Robust Optimization by Outer Approximations
Abstract: We develop an algorithm for minimax problems that arise in robust optimization in the absence of objective function derivatives. The algorithm uses an extension of methods for inexact outer approximation in sampling a potentially infinite-cardinality uncertainty set. Clarke stationarity of the algorithm output is established alongside desirable features of the model-based trust-region subproblems encountered. We demonstrate the practical benefits of the algorithm on a new class of test problems.
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