Inter-DS: a cost saving algorithm for expensive constrained multi-fidelity blackbox optimization

Stéphane Alarie (), Charles Audet (), Miguel Diago (), Sébastien Le Digabel () and Xavier Lebeuf ()
Additional contact information
Stéphane Alarie: GERAD
Charles Audet: Polytechnique Montréal
Miguel Diago: Hydro-Québec
Sébastien Le Digabel: Polytechnique Montréal
Xavier Lebeuf: Polytechnique Montréal

Computational Optimization and Applications, 2025, vol. 90, issue 3, No 1, 607-629

Abstract: Abstract This work introduces Inter-DS, a blackbox optimization algorithmic framework for computationally expensive constrained multi-fidelity problems. When applying a direct search method to such problems, the scarcity of feasible points may lead to numerous costly evaluations spent on infeasible points. Our proposed algorithm addresses this issue by leveraging multi-fidelity information, allowing for premature interruption of an evaluation when a point is estimated to be infeasible. These estimations are controlled by a biadjacency matrix, for which we propose a construction. The proposed method acts as an intermediary component bridging any non multi-fidelity direct search solver and a multi-fidelity blackbox problem, giving the user freedom of choice for the solver. A series of computational tests are conducted to validate the approach. The results show a significant improvement in solution quality when an initial feasible starting point is provided. When this condition is not met, the outcomes are contingent upon specific properties of the blackbox.

Keywords: Blackbox optimization; Derivative-free optimization; Multi-fidelity; Constrained optimization; Direct search methods; Static surrogates (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10589-024-00645-w Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:coopap:v:90:y:2025:i:3:d:10.1007_s10589-024-00645-w

Ordering information: This journal article can be ordered from
http://www.springer.com/math/journal/10589

DOI: 10.1007/s10589-024-00645-w

Access Statistics for this article

Computational Optimization and Applications is currently edited by William W. Hager

More articles in Computational Optimization and Applications from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().