This paper presents a methodology for constrained efficient global optimization (EGO) using support vector machines (SVMs). While the objective function is approximated using Kriging, as in the original EGO formulation, the boundary of the feasible domain is approximated explicitly as a function of the design variables using an SVM. Because SVM is a classification approach and does not involve response approximations, this approach alleviates issues due to discontinuous or binary responses. More importantly, several constraints, even correlated, can be represented using one unique SVM, thus considerably simplifying constrained problems. In order to account for constraints, this paper introduces an SVM-based "probability of feasibility" using a new Probabilistic SVM model. The proposed optimization scheme is constituted of two levels. In a first stage, a global search for the optimal solution is performed based on the "expected improvement" of the objective function and the probability of feasibility. In a second stage, the SVM boundary is locally refined using an adaptive sampling scheme. An unconstrained and a constrained formulation of the optimization problem are presented and compared. Several analytical examples are used to test the formulations. In particular, a problem with 99 constraints and an aeroelasticity problem with binary A. Basudhar · C. Dribusch · S. Lacaze · S. Missoum (B) Aerospace and Mechanical Engineering Department, output are presented. Overall, the results indicate that the constrained formulation is more robust and efficient.

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The design of complex systems often requires reliability assessments involving a large number of uncertainties and low probability of failure estimations (in the order of 10−4). Estimating such rare event probabilities with crude Monte Carlo (CMC) is computationally intractable. Specific numerical methods to reduce the computational cost and the variance estimate have been developed such as importance sampling or subset simulation. However, these methods assume that the uncertainties are defined within the probability formalism. Regarding epistemic uncertainties, the interval formalism is particularly adapted when only their definition domain is known. In this paper, a method is derived to assess the reliability of a system with uncertainties described by both probability and interval frameworks. It allows one to determine the bounds of the failure probability and involves a sequential approach using subset simulation, kriging, and an optimization process. To reduce the simulation cost, a refinement strategy of the surrogate model is proposed taking into account the presence of both aleatory and epistemic uncertainties. The method is compared to existing approaches on an analytical example as well as on a launch vehicle fallout zone estimation problem.

This note introduces a derivation of the sensitivities of a probability of failure with respect to decision variables. For instance, the gradient of the probability of failure with respect to deterministic design variables might be needed in RBDO. These sensitivities might also be useful for Uncertainty-based Multidisciplinary Design Optimization. The difficulty stems from the dependence of the failure domain on variations of the decision variables. This dependence leads to a derivative of the indicator function in the form of a Dirac distribution in the expression of the sensitivities. Based on an approximation of the Dirac, an estimator of the sensitivities is analytically derived in the case of Crude Monte Carlo first and Subset Simulation. The choice of the Dirac approximation is discussed.

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