ERGO-II: An Improved Bayesian Optimization Technique for Robust Design with Multiple Objectives, Failed Evaluations and Stochastic Parameters

In this work, the Efficient Robust Global Optimization (ERGO) method is revisited with the aim of enhancing and expanding its existing capabilities. The original objective of ERGO was to address the computational challenges associated with optimization-under-uncertainty through the use of Bayesian optimization (BO). ERGO tackles robust optimization problems which are characterized by sensitivity in the objective function due to stochasticity in the design space. It does this by concurrently minimizing the mean and variance of the objective in a multi-objective setting. To handle the computational complexity arising from the uncertainty propagation, ERGO exploits the analytical expression of the surrogate model underlying BO. In this study, ERGO is extended to accommodate multiple objectives, incorporate an improved predictive error estimation approach, investigate the treatment of failed function evaluations, and explore the handling of stochastic parameters next to stochastic design variables. To evaluate the effectiveness of these improvements, the enhanced ERGO scheme is compared with the original method using an analytical test problem with varying dimensionality. Additionally, the novel optimization technique is applied to an aerodynamic design problem to validate its performance.