Academic Journal
A surrogate-based cooperative optimization framework for computationally expensive black-box problems
| Title: | A surrogate-based cooperative optimization framework for computationally expensive black-box problems |
|---|---|
| Authors: | García García, José Carlos, García Ródenas, Ricardo, Codina Sancho, Esteve |
| Contributors: | Universitat Politècnica de Catalunya. Departament d'Estadística i Investigació Operativa, Universitat Politècnica de Catalunya. IMP - Information Modeling and Processing |
| Source: | UPCommons. Portal del coneixement obert de la UPC Universitat Politècnica de Catalunya (UPC) |
| Publisher Information: | Springer Science and Business Media LLC, 2020. |
| Publication Year: | 2020 |
| Subject Terms: | Classificació AMS::68 Computer science::68W Algorithms, 68 Computer science::68W Algorithms [Classificació AMS], Àrees temàtiques de la UPC::Matemàtiques i estadística, Radial basis functions, Black-box function, Expected improvement, Cooperative optimization, 0211 other engineering and technologies, Parallel surrogate-based optimization, Matemàtiques i estadística [Àrees temàtiques de la UPC], 02 engineering and technology |
| Description: | The final publication is available at link.springer.com Most parallel surrogate-based optimization algorithms focus only on the mechanisms for generating multiple updating points in each cycle, and rather less attention has been paid to producing them through the cooperation of several algorithms. For this purpose, a surrogate-based cooperative optimization framework is here proposed. Firstly, a class of parallel surrogate-based optimization algorithms is developed, based on the idea of viewing the infill sampling criterion as a bi-objective optimization problem. Each algorithm of this class is called a Sequential Multipoint Infill Sampling Algorithm (SMISA) and is the combination resulting from choosing a surrogate model, an exploitation measure, an exploration measure and a multi-objective optimization approach to its solution. SMISAs are the basic algorithms on which collaboration mechanisms are established. Many SMISAs can be defined, and the focus has been on scalar approaches for bi-objective problems such as the e-constrained method, revisiting the Parallel Constrained Optimization using Response Surfaces (CORS-RBF) method and the Efficient Global Optimization with Pseudo Expected Improvement (EGO-PEI) algorithm as instances of SMISAs. In addition, a parallel version of the Lower Confidence Bound-based (LCB) algorithm is given as a member within the SMISA class. Secondly, we propose a cooperative optimization framework between the SMISAs. The cooperation between SMISAs occurs in two ways: (1) they share solutions and their objective function values to update their surrogate models and (2) they use the sampled points obtained from different SMISAs to guide their own search process. Some convergence results for this cooperative framework are given under weak conditions. A numerical comparison between EGO-PEI, Parallel CORS-RBF and a cooperative method using both, named CPEI, shows that CPEI improves the performance of the baseline algorithms. The numerical results were derived from 17 analytic tests and they show the reduction of wall-clock time with respect to the increase in the number of processors. |
| Document Type: | Article |
| File Description: | application/pdf |
| Language: | English |
| ISSN: | 1573-2924 1389-4420 |
| DOI: | 10.1007/s11081-020-09526-7 |
| Access URL: | https://link.springer.com/content/pdf/10.1007/s11081-020-09526-7.pdf http://hdl.handle.net/2117/345025 https://link.springer.com/article/10.1007/s11081-020-09526-7 https://upcommons.upc.edu/handle/2117/345025 https://link.springer.com/content/pdf/10.1007/s11081-020-09526-7.pdf https://upcommons.upc.edu/bitstream/2117/345025/1/localQual.pdf https://www.scilit.net/article/8557c51bd762291f52bc446d6b7b7f65 https://hdl.handle.net/2117/345025 https://doi.org/10.1007/s11081-020-09526-7 |
| Rights: | CC BY |
| Accession Number: | edsair.doi.dedup.....3faa36436978d44f44c2b515a26fb65d |
| Database: | OpenAIRE |
Be the first to leave a comment!