Cost function in RBDO

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1

I am working with RBDO using a PCE model. All the examples I saw have Cost functions with simple forms. Mine is a bit more complex because it includes several sequential calculations involving the decision variables and the stochastic parameters. I tried various alternatives to handle problem. One was to write a large Cost function, like this one:
RBDOOpts.Cost.mString = [
'dose = X(:,1); ’ …
'theta11 = X(:,2); ’ …
'theta12 = X(:,3); ’ …
'theta21 = X(:,4); ’ …
'theta22 = X(:,5); ’ …
'theta23 = X(:,6); ’ …
'rho = X(:,7); ’ …
'linVal1 = -(theta11 + theta12 .* dose); ’ …
'linVal2 = -(theta21 + theta22 .* dose + theta23 .* dose .^ 2); ’ …
'Y1 = 1.0 ./ (1.0 + exp(linVal1)); ’ …
'Y2 = 1.0 ./ (1.0 + exp(linVal2)); ’ …
'Z2 = Y2 - 0.5; ’ …
‘ZConst = Z2;’
];

but it does not work because of the “=”. Another strategy was using a function mHandle without much success I have to say. So, anybody has experience in using complex Cost functions?

Another problem is that I need the stochastic parameters within the Cost function In the above example only X(:,1) is a decision variable, the other 6 columns are parameters. So, how can I pass parameters into the cost function?

2

Hello @BPMD,

The mString fails because you have multiple statements and not a single expression that evaluates to a single value. Please refer to Table 8 in the manual for more information:

This forwards you to the model manual section 2.1.3:

The mHandle or mFile should work. However, it is always hard to help if you don’t provide minimal example to reproduce the problem. How did you implement the mHandle? Can you provide an example that we can run?

Best regards,
Styfen

3

Thank you, Styfen. I was able to handle it. Cheers