Enhancing Cooperative Coevolution for Large Scale Optimization by Adaptively Constructing Surrogate Models

It has been shown that cooperative coevolution (CC) can effectively deal with large scale optimization problems (LSOPs) through a divide-and-conquer strategy. However, its performance is severely restricted by the current context-vector-based sub-solution evaluation method since this method needs to access the original high dimensional simulation model when evaluating each sub-solution and thus requires many computation resources. To alleviate this issue, this study proposes an adaptive surrogate model assisted CC framework. This framework adaptively constructs surrogate models for different sub-problems by fully considering their characteristics. For the single dimensional sub-problems obtained through decomposition, accurate enough surrogate models can be obtained and used to find out the optimal solutions of the corresponding sub-problems directly. As for the nonseparable sub-problems, the surrogate models are employed to evaluate the corresponding sub-solutions, and the original simulation model is only adopted to reevaluate some good sub-solutions selected by surrogate models. By these means, the computation cost could be greatly reduced without significantly sacrificing evaluation quality. Empirical studies on IEEE CEC 2010 benchmark functions show that the concrete algorithm based on this framework is able to find much better solutions than the conventional CC algorithms and a non-CC algorithm even with much fewer computation resources.Comment: arXiv admin note: text overlap with arXiv:1802.0974

MATSuMoTo: The MATLAB Surrogate Model Toolbox For Computationally Expensive Black-Box Global Optimization Problems

MATSuMoTo is the MATLAB Surrogate Model Toolbox for computationally expensive, black-box, global optimization problems that may have continuous, mixed-integer, or pure integer variables. Due to the black-box nature of the objective function, derivatives are not available. Hence, surrogate models are used as computationally cheap approximations of the expensive objective function in order to guide the search for improved solutions. Due to the computational expense of doing a single function evaluation, the goal is to find optimal solutions within very few expensive evaluations. The multimodality of the expensive black-box function requires an algorithm that is able to search locally as well as globally. MATSuMoTo is able to address these challenges. MATSuMoTo offers various choices for surrogate models and surrogate model mixtures, initial experimental design strategies, and sampling strategies. MATSuMoTo is able to do several function evaluations in parallel by exploiting MATLAB's Parallel Computing Toolbox.Comment: 13 pages, 7 figure

The SUMO toolbox: a tool for automatic regression modeling and active learning

Many complex, real world phenomena are difficult to study directly using controlled experiments. Instead, the use of computer simulations has become commonplace as a feasible alternative. Due to the computational cost of these high fidelity simulations, surrogate models are often employed as a drop-in replacement for the original simulator, in order to reduce evaluation times. In this context, neural networks, kernel methods, and other modeling techniques have become indispensable. Surrogate models have proven to be very useful for tasks such as optimization, design space exploration, visualization, prototyping and sensitivity analysis. We present a fully automated machine learning tool for generating accurate surrogate models, using active learning techniques to minimize the number of simulations and to maximize efficiency

A Derivative-Free Trust-Region Algorithm for Reliability-Based Optimization

In this note, we present a derivative-free trust-region (TR) algorithm for reliability based optimization (RBO) problems. The proposed algorithm consists of solving a set of subproblems, in which simple surrogate models of the reliability constraints are constructed and used in solving the subproblems. Taking advantage of the special structure of the RBO problems, we employ a sample reweighting method to evaluate the failure probabilities, which constructs the surrogate for the reliability constraints by performing only a single full reliability evaluation in each iteration. With numerical experiments, we illustrate that the proposed algorithm is competitive against existing methods

Fast prediction and evaluation of gravitational waveforms using surrogate models

[Abridged] We propose a solution to the problem of quickly and accurately predicting gravitational waveforms within any given physical model. The method is relevant for both real-time applications and in more traditional scenarios where the generation of waveforms using standard methods can be prohibitively expensive. Our approach is based on three offline steps resulting in an accurate reduced-order model that can be used as a surrogate for the true/fiducial waveform family. First, a set of m parameter values is determined using a greedy algorithm from which a reduced basis representation is constructed. Second, these m parameters induce the selection of m time values for interpolating a waveform time series using an empirical interpolant. Third, a fit in the parameter dimension is performed for the waveform's value at each of these m times. The cost of predicting L waveform time samples for a generic parameter choice is of order m L + m c_f online operations where c_f denotes the fitting function operation count and, typically, m << L. We generate accurate surrogate models for Effective One Body (EOB) waveforms of non-spinning binary black hole coalescences with durations as long as 10^5 M, mass ratios from 1 to 10, and for multiple harmonic modes. We find that these surrogates are three orders of magnitude faster to evaluate as compared to the cost of generating EOB waveforms in standard ways. Surrogate model building for other waveform models follow the same steps and have the same low online scaling cost. For expensive numerical simulations of binary black hole coalescences we thus anticipate large speedups in generating new waveforms with a surrogate. As waveform generation is one of the dominant costs in parameter estimation algorithms and parameter space exploration, surrogate models offer a new and practical way to dramatically accelerate such studies without impacting accuracy.Comment: 20 pages, 17 figures, uses revtex 4.1. Version 2 includes new numerical experiments for longer waveform durations, larger regions of parameter space and multi-mode model

Efficient Benchmarking of Algorithm Configuration Procedures via Model-Based Surrogates

The optimization of algorithm (hyper-)parameters is crucial for achieving peak performance across a wide range of domains, ranging from deep neural networks to solvers for hard combinatorial problems. The resulting algorithm configuration (AC) problem has attracted much attention from the machine learning community. However, the proper evaluation of new AC procedures is hindered by two key hurdles. First, AC benchmarks are hard to set up. Second and even more significantly, they are computationally expensive: a single run of an AC procedure involves many costly runs of the target algorithm whose performance is to be optimized in a given AC benchmark scenario. One common workaround is to optimize cheap-to-evaluate artificial benchmark functions (e.g., Branin) instead of actual algorithms; however, these have different properties than realistic AC problems. Here, we propose an alternative benchmarking approach that is similarly cheap to evaluate but much closer to the original AC problem: replacing expensive benchmarks by surrogate benchmarks constructed from AC benchmarks. These surrogate benchmarks approximate the response surface corresponding to true target algorithm performance using a regression model, and the original and surrogate benchmark share the same (hyper-)parameter space. In our experiments, we construct and evaluate surrogate benchmarks for hyperparameter optimization as well as for AC problems that involve performance optimization of solvers for hard combinatorial problems, drawing training data from the runs of existing AC procedures. We show that our surrogate benchmarks capture overall important characteristics of the AC scenarios, such as high- and low-performing regions, from which they were derived, while being much easier to use and orders of magnitude cheaper to evaluate

Strategies for balancing exploration and exploitation in electromagnetic optimisation

The paper focuses on the advantages and drawbacks of different strategies which may be used to assist kriging surrogate modelling with the purpose of selecting multiple design vectors for evaluation when stepping forward in optimisation routines. The combined criteria include the efficiency of finding the global optimum but also the quality of the approximation of the shape of the objective function; the latter may be used to make judgements about the robustness of the optimised design

KL-based Control of the Learning Schedule for Surrogate Black-Box Optimization

This paper investigates the control of an ML component within the Covariance Matrix Adaptation Evolution Strategy (CMA-ES) devoted to black-box optimization. The known CMA-ES weakness is its sample complexity, the number of evaluations of the objective function needed to approximate the global optimum. This weakness is commonly addressed through surrogate optimization, learning an estimate of the objective function a.k.a. surrogate model, and replacing most evaluations of the true objective function with the (inexpensive) evaluation of the surrogate model. This paper presents a principled control of the learning schedule (when to relearn the surrogate model), based on the Kullback-Leibler divergence of the current search distribution and the training distribution of the former surrogate model. The experimental validation of the proposed approach shows significant performance gains on a comprehensive set of ill-conditioned benchmark problems, compared to the best state of the art including the quasi-Newton high-precision BFGS method