Quantifying uncertainty with ensembles of surrogates for blackbox optimization
From MaRDI portal
Publication:2162525
Abstract: This work is in the context of blackbox optimization where the functions defining the problem are expensive to evaluate and where no derivatives are available. A tried and tested technique is to build surrogates of the objective and the constraints in order to conduct the optimization at a cheaper computational cost. This work proposes different uncertainty measures when using ensembles of surrogates. The resulting combination of an ensemble of surrogates with our measures behaves as a stochastic model and allows the use of efficient Bayesian optimization tools. The method is incorporated in the search step of the mesh adaptive direct search (MADS) algorithm to improve the exploration of the search space. Computational experiments are conducted on seven analytical problems, two multi-disciplinary optimization problems and two simulation problems. The results show that the proposed approach solves expensive simulation-based problems at a greater precision and with a lower computational effort than stochastic models.
Recommendations
- Surrogate‐based methods for black‐box optimization
- High-dimensional black-box optimization under uncertainty
- A survey on direct search methods for blackbox optimization and their applications
- Influence of ensemble surrogate models and sampling strategy on the solution quality of algorithms for~computationally expensive black-box global optimization problems
- The mesh adaptive direct search algorithm with treed Gaussian process surrogates
Cites work
- scientific article; zbMATH DE number 3612796 (Why is no real title available?)
- scientific article; zbMATH DE number 1552017 (Why is no real title available?)
- A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
- A Linesearch-Based Derivative-Free Approach for Nonsmooth Constrained Optimization
- A progressive barrier for derivative-free nonlinear programming
- A taxonomy of global optimization methods based on response surfaces
- Algorithm 1027: NOMAD Version 4: Nonlinear Optimization with the MADS Algorithm
- An algorithmic framework for the optimization of computationally expensive bi-fidelity black-box problems
- Benchmarking Derivative-Free Optimization Algorithms
- Constrained global optimization of expensive black box functions using radial basis functions
- Convergence results for generalized pattern search algorithms are tight
- Derivative-free and blackbox optimization
- Derivative-free optimization methods
- Design and analysis of computer experiments. With comments and a rejoinder by the authors
- Detection and Remediation of Stagnation in the Nelder--Mead Algorithm Using a Sufficient Decrease Condition
- Dynamic improvements of static surrogates in direct search optimization
- Dynamic trees for learning and design
- Efficient global optimization algorithm assisted by multiple surrogate techniques
- Efficient global optimization of expensive black-box functions
- Finding Optimal Algorithmic Parameters Using Derivative‐Free Optimization
- Gaussian processes for machine learning.
- Global convergence of radial basis function trust region derivative-free algorithms
- Global optimization of costly nonconvex functions using radial basis functions
- Incorporating minimum Frobenius norm models in direct search
- Information-Theoretic Regret Bounds for Gaussian Process Optimization in the Bandit Setting
- Introduction to Derivative-Free Optimization
- Locally weighted regression models for surrogate-assisted design optimization
- Mesh Adaptive Direct Search Algorithms for Constrained Optimization
- Mixture surrogate models based on Dempster-Shafer theory for global optimization problems
- Nonsmooth optimization through mesh adaptive direct search and variable neighborhood search
- ORBIT: Optimization by Radial Basis Function Interpolation in Trust-Regions
- On the Convergence of Pattern Search Algorithms
- On the construction of quadratic models for derivative-free trust-region algorithms
- Optimization and nonsmooth analysis
- Optimization of automotive valve train components with implicit filtering
- Optimizing radial basis functions by d.c. programming and its use in direct search for global derivative-free optimization
- Order-based error for managing ensembles of surrogates in mesh adaptive direct search
- OrthoMADS: A Deterministic MADS Instance with Orthogonal Directions
- Parallel Space Decomposition of the Mesh Adaptive Direct Search Algorithm
- Sequential approximate optimization using radial basis function network for engineering optimization
- Spent potliner treatment process optimization using a MADS algorithm
- Stochastic radial basis function algorithms for large-scale optimization involving expensive black-box objective and constraint functions
- Surrogate Optimization of Computationally Expensive Black-Box Problems with Hidden Constraints
- Surrogate optimization of deep neural networks for groundwater predictions
- Surrogate‐based methods for black‐box optimization
- Test examples for nonlinear programming codes
- The mesh adaptive direct search algorithm with treed Gaussian process surrogates
- Theory of Positive Linear Dependence
- Trailing-edge noise reduction using derivative-free optimization and large-eddy simulation
- Use of quadratic models with mesh-adaptive direct search for constrained black box optimization
Cited in
(11)- Order-based error for managing ensembles of surrogates in mesh adaptive direct search
- High-dimensional black-box optimization under uncertainty
- Influence of ensemble surrogate models and sampling strategy on the solution quality of algorithms for~computationally expensive black-box global optimization problems
- Surrogate-based branch-and-bound algorithms for simulation-based black-box optimization
- Surrogate-based feasibility analysis for black-box stochastic simulations with heteroscedastic noise
- A survey of unsupervised learning methods for high-dimensional uncertainty quantification in black-box-type problems
- scientific article; zbMATH DE number 1784862 (Why is no real title available?)
- Black-box combinatorial optimization using models with integer-valued minima
- Surrogate-Based Ensemble Grouping Strategies for Embedded Sampling-Based Uncertainty Quantification
- Surrogate-based distributed optimisation for expensive black-box functions
- Surrogate‐based methods for black‐box optimization
This page was built for publication: Quantifying uncertainty with ensembles of surrogates for blackbox optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2162525)
