On the implementation of a global optimization method for mixed-variable problems
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Publication:2165595
Abstract: We describe the optimization algorithm implemented in the open-source derivative-free solver RBFOpt. The algorithm is based on the radial basis function method of Gutmann and the metric stochastic response surface method of Regis and Shoemaker. We propose several modifications aimed at generalizing and improving these two algorithms: (i) the use of an extended space to represent categorical variables in unary encoding; (ii) a refinement phase to locally improve a candidate solution; (iii) interpolation models without the unisolvence condition, to both help deal with categorical variables, and initiate the optimization before a uniquely determined model is possible; (iv) a master-worker framework to allow asynchronous objective function evaluations in parallel. Numerical experiments show the effectiveness of these ideas.
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Cited in
(8)- A hybrid global optimization method: The multi-dimensional case
- On the use of finite differences in the multistart method for solving a certain class of global optimization
- A general mathematical framework for constrained mixed-variable blackbox optimization problems with meta and categorical variables
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