Multiobjective optimization using Gaussian process emulators via stepwise uncertainty reduction
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Abstract: Optimization of expensive computer models with the help of Gaussian process emulators in now commonplace. However, when several (competing) objectives are considered, choosing an appropriate sampling strategy remains an open question. We present here a new algorithm based on stepwise uncertainty reduction principles to address this issue. Optimization is seen as a sequential reduction of the volume of the excursion sets below the current best solutions, and our sampling strategy chooses the points that give the highest expected reduction. Closed-form formulae are provided to compute the sampling criterion, avoiding the use of cumbersome simulations. We test our method on numerical examples, showing that it provides an efficient trade-off between exploration and intensification.
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- scientific article; zbMATH DE number 6746319
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Cited in
(27)- Multiobjective optimization of expensive-to-evaluate deterministic computer simulator models
- Benefits and application of tree structures in Gaussian process models to optimize magnetic field shaping problems
- Robust optimisation of computationally expensive models using adaptive multi-fidelity emulation
- Kriging metamodels-based multi-objective shape optimization applied to a multi-scale heat exchanger
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- scientific article; zbMATH DE number 6746319 (Why is no real title available?)
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