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Efficient solution of many instances of a simulation-based optimization problem utilizing a partition of the decision space

Zuzana Nedelkova (Institutionen för matematiska vetenskaper, Tillämpad matematik och statistik) ; Peter Lindroth ; Michael Patriksson (Institutionen för matematiska vetenskaper, Tillämpad matematik och statistik) ; Ann-Brith Strömberg (Institutionen för matematiska vetenskaper, Tillämpad matematik och statistik)
Annals of Operations Research (0254-5330). (2017)
[Artikel, refereegranskad vetenskaplig]

This paper concerns the solution of a class of mathematical optimization problems with simulation-based objective functions. The decision variables are partitioned into two groups, referred to as variables and parameters, respectively, such that the objective function value is influenced more by the variables than by the parameters. We aim to solve this optimization problem for a large number of parameter settings in a computationally efficient way. The algorithm developed uses surrogate models of the objective function for a selection of parameter settings, for each of which it computes an approximately optimal solution over the domain of the variables. Then, approximate optimal solutions for other parameter settings are computed through a weighting of the surrogate models without requiring additional expensive function evaluations. We have tested the algorithm's performance on a set of global optimization problems differing with respect to both mathematical properties and numbers of variables and parameters. Our results show that it outperforms a standard and often applied approach based on a surrogate model of the objective function over the complete space of variables and parameters.

Nyckelord: Simulation-based optimization, Surrogate mode, Response surface, Partition of variables, Tyres

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Denna post skapades 2017-12-11.
CPL Pubid: 253693


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Institutioner (Chalmers)

Institutionen för matematiska vetenskaper, Tillämpad matematik och statistikInstitutionen för matematiska vetenskaper, Tillämpad matematik och statistik (GU)


Hållbar utveckling
Optimeringslära, systemteori

Chalmers infrastruktur

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