Data Driven Surrogate Based Optimization in the Problem Solving Environment WBCSim

Large scale, multidisciplinary, engineering designs are always difficult due to the complexity and dimensionality of these problems. Direct coupling between the analysis codes and the optimization routines can be prohibitively time consuming due to the complexity of the underlying simulation codes. One way of tackling this problem is by constructing computationally cheap(er) approximations of the expensive simulations, that mimic the behavior of the simulation model as closely as possible. This paper presents a data driven, surrogate based optimization algorithm that uses a trust region based sequential approximate optimization (SAO) framework and a statistical sampling approach based on design of experiment (DOE) arrays. The algorithm is implemented using techniques from two packages—SURFPACK and SHEPPACK that provide a collection of approximation algorithms to build the surrogates and three different DOE techniques—full factorial (FF), Latin hypercube sampling (LHS), and central composite design (CCD)—are used to train the surrogates. The results are compared with the optimization results obtained by directly coupling an optimizer with the simulation code. The biggest concern in using the SAO framework based on statistical sampling is the generation of the required database. As the number of design variables grows, the computational cost of generating the required database grows rapidly. A data driven approach is proposed to tackle this situation, where the trick is to run the expensive simulation if and only if a nearby data point does not exist in the cumulatively growing database. Over time the database matures and is enriched as more and more optimizations are performed. Results show that the proposed methodology dramatically reduces the total number of calls to the expensive simulation runs during the optimization process

On the rates of convergence of simulation based optimization algorithms for optimal stopping problems

In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large deviation theory for the increments of empirical processes, we derive optimal convergence rates and show that they can not be improved in general. The rates derived provide a guide to the choice of the number of simulated paths needed in optimization step, which is crucial for the good performance of any simulation based optimization algorithm. Finally, we present a numerical example of solving optimal stopping problem arising in option pricing that illustrates our theoretical findings

Current Trends in Simheuristics: from smart transportation to agent-based simheuristics

Simheuristics extend metaheuristics by adding a simulation layer that allows the optimization component to deal efficiently with scenarios under uncertainty. This presentation reviews both initial as well as recent applications of simheuristics, mainly in the area of logistics and transportation. We also discuss a novel agent-based simheuristic (ABSH) approach that combines simheuristic and multi-agent systems to efficiently solve stochastic combinatorial optimization problems. The presentation is based on papers [1], [2], and [3], which have been already accepted in the prestigious Winter Simulation Conference.Peer ReviewedPostprint (published version

Optimization of Discrete-parameter Multiprocessor Systems using a Novel Ergodic Interpolation Technique

Modern multi-core systems have a large number of design parameters, most of which are discrete-valued, and this number is likely to keep increasing as chip complexity rises. Further, the accurate evaluation of a potential design choice is computationally expensive because it requires detailed cycle-accurate system simulation. If the discrete parameter space can be embedded into a larger continuous parameter space, then continuous space techniques can, in principle, be applied to the system optimization problem. Such continuous space techniques often scale well with the number of parameters. We propose a novel technique for embedding the discrete parameter space into an extended continuous space so that continuous space techniques can be applied to the embedded problem using cycle accurate simulation for evaluating the objective function. This embedding is implemented using simulation-based ergodic interpolation, which, unlike spatial interpolation, produces the interpolated value within a single simulation run irrespective of the number of parameters. We have implemented this interpolation scheme in a cycle-based system simulator. In a characterization study, we observe that the interpolated performance curves are continuous, piece-wise smooth, and have low statistical error. We use the ergodic interpolation-based approach to solve a large multi-core design optimization problem with 31 design parameters. Our results indicate that continuous space optimization using ergodic interpolation-based embedding can be a viable approach for large multi-core design optimization problems.Comment: A short version of this paper will be published in the proceedings of IEEE MASCOTS 2015 conferenc