Sequential quadrature methods for RDO

Abstract This paper presents a comparative study between a large number of different existing sequential quadrature schemes suitable for Robust Design Optimization (RDO), with the inclusion of two partly original approaches. Efficiency of the different integration strategies is evaluated in terms of accuracy and computational effort: main goal of this paper is the identification of an integration strategy able to provide the integral value with a prescribed accuracy using a limited number of function samples. Identification of the different qualities of the various integration schemes is obtained utilizing both algebraic and practical test cases. Differences in the computational effort needed by the different schemes is evidenced, and the implications on their application to practical RDO problems is highlighted.