Dynamic Precision Control in Surrogate Assisted Optimization

• Main Authors: Hua-Wen Luo, 羅華文
• Other Authors: 王偉仲
• Format: Others
• Language: en_US
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/04740429510755550684

碩士 === 國立臺灣大學 === 數學研究所 === 99 === In many optimization problems, the number of function evaluations is severely limited by time or cost. These problems pose a special challenge to the field of global optimization, since existing methods often require more function evaluations than can be comfortably afforded. One way to address this challenge is to t response surfaces or surrogate surface to data collected by evaluating the objective and constraint functions at a few points. These surfaces can then be used for visualization, trade o analysis, and optimization. We then show how these approximating functions can be used to construct an efficient global optimization algorithm with a credible stopping rule. The key to using response surfaces for global optimization lies in balancing the need to exploit the approximating surface (by sampling where it is minimized) with the need to improve the approximation (by sampling where prediction error may be high). Striking this balance requires solving certain auxiliary problems which have previously been considered intractable, but we show how these computational obstacles can be overcome.