GOSAC: global optimization with surrogate approximation of constraints

Juliane Müller () and Joshua D. Woodbury ()
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Juliane Müller: Lawrence Berkeley National Laboratory, Computational Research Division, Center for Computational Sciences and Engineering
Joshua D. Woodbury: Swiss Re

Journal of Global Optimization, 2017, vol. 69, issue 1, No 6, 117-136

Abstract: Abstract We introduce GOSAC, a global optimization algorithm for problems with computationally expensive black-box constraints and computationally cheap objective functions. The variables may be continuous, integer, or mixed-integer. GOSAC uses a two-phase optimization approach. The first phase aims at finding a feasible point by solving a multi-objective optimization problem in which the constraints are minimized simultaneously. The second phase aims at improving the feasible solution. In both phases, we use cubic radial basis function surrogate models to approximate the computationally expensive constraints. We iteratively select sample points by minimizing the computationally cheap objective function subject to the constraint function approximations. We assess GOSAC’s efficiency on computationally cheap test problems with integer, mixed-integer, and continuous variables and two environmental applications. We compare GOSAC to NOMAD and a genetic algorithm (GA). The results of the numerical experiments show that for a given budget of allowed expensive constraint evaluations, GOSAC finds better feasible solutions more efficiently than NOMAD and GA for most benchmark problems and both applications. GOSAC finds feasible solutions with a higher probability than NOMAD and GOSAC.

Keywords: Black-box optimization; Computationally expensive constraints; Surrogate models; Radial basis functions; 90C26; 90C30; 90C56; 90C59 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10898-017-0496-y

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