Robust Optimisation of Nonlinear Systems under Parametric Uncertainty

A robust optimisation framework for constrained nonlinear optimisation under parameter uncertainty is considered. We consider robust formulations under the mean-variance robustness framework for uncer­tainty characterised by continuous probability density functions. A robust formulation designed for strict feasibility over the entire probability space is presented. Flexibility in the operational conditions is also provided via a penalty function framework. The robust strategies are tested on a dynamic optimisation problem from chemical engineering.