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A metamodel-assisted evolutionary algorithm for expensive optimization. (English) Zbl 1269.65056
Summary: Expensive optimization aims to find the global minimum of a given function within a very limited number of function evaluations. It has drawn much attention in recent years. The present expensive optimization algorithms focus their attention on metamodeling techniques, and call existing global optimization algorithms as subroutines. So it is difficult for them to keep a good balance between model approximation and global search due to their two-part property.
To overcome this difficulty, we try to embed a metamodel mechanism into an efficient evolutionary algorithm, low dimensional simplex evolution (LDSE), in this paper. The proposed algorithm is referred to as the low dimensional simplex evolution extension (LDSEE). It is inherently parallel and self-contained. This renders it very easy to use. Numerical results show that our proposed algorithm is a competitive alternative for expensive optimization problems.

MSC:
65K05 Numerical mathematical programming methods
90C26 Nonconvex programming, global optimization
Software:
EGO; Tabu search; UOBYQA
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