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SUMMARY:Risk measures in the context of robust and reliability based optim
 ization
DTSTART:20170117T151500
DTEND:20170117T163000
DTSTAMP:20260429T051033Z
UID:3a1b202d67796f12ba2aaf9b8bc7a9879c391c4c49cf241c568dc483
CATEGORIES:Conferences - Seminars
DESCRIPTION:Dr. Domenico Quagliarella\n\nHead of\nMultidisciplinary Analys
 is and Design\nFluid Mechanics Department\nC.I.R.A. - Italian Aerospace Re
 search Centre\nMany industrial optimization processes must take account of
  the stochastic nature of the system and processes to be designed or re-de
 signed and have to consider the random variability of some of the paramete
 rs that describe them. Thus it is necessary to characterize the system tha
 t is being studied from various points of view related to the treatment of
  uncertainty. This talk is related to the use of various risk measures in 
 the context of robust and reliability based optimization. We start from th
 e definition of risk measure and its formal setting and then we show how d
 ifferent risk functional definitions can lead to different approaches to t
 he problem of optimization under uncertainty. In particular\, the applicat
 ion of value-at-risk (VaR) and conditional value-at-risk (CVaR) is here il
 lustrated. These risk measures originated in the area of financial enginee
 ring\, but they are very well and naturally suited to reliability-based de
 sign optimization problems and they represent a viable alternative to more
  traditional robust design approaches. We will then discuss the implementa
 tion of an efficient risk-measure based optimization algorithm based on th
 e introduction of the Weighted Empirical Cumulative Distribution Function 
 (WECDF) and on the use of methods for changing the probability measure. Fi
 nally we will discuss the problems related to the error in the estimation 
 of the risk function and we will illustrate the “bootstrap” computatio
 nal statistics technique to get an estimate of the standard error on VaR a
 nd CVaR. Finally\, we will report some application examples of this approa
 ch to robust and reliability based optimization\, with particular referenc
 e to the robust design optimization of a natural laminar flow wing for a s
 upersonic business jet.\n \n 
LOCATION:CO 011 https://plan.epfl.ch/theme/generalite_thm_v2?request_local
 e=fr&room=CO%20011&domain=places&dim_floor=0&lang=fr&dim_lang=fr&tree_grou
 ps=centres_nevralgiques%2Cacces%2Cmobilite_reduite%2Censeignement%2C
STATUS:CONFIRMED
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