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A method for simulation based optimization using radial basis functions

Stefan Jakobsson ; Michael Patriksson (Institutionen för matematiska vetenskaper, matematik) ; Johan Rudholm ; Adam Wojciechowski (Institutionen för matematiska vetenskaper, matematik)
Optimization & Engineering (1573-2924). Vol. 11 (2010), 4, p. 501-532.
[Artikel, refereegranskad vetenskaplig]

We propose an algorithm for the global optimization of expensive and noisy black box functions using a surrogate model based on radial basis functions (RBFs). A method for RBF-based approximation is introduced in order to handle noise. New points are selected to minimize the total model uncertainty weighted against the surrogate function value. The algorithm is extended to multiple objective functions by instead weighting against the distance to the surrogate Pareto front; it therefore constitutes the first algorithm for expensive, noisy and multiobjective problems in the literature. Numerical results on analytical test functions show promise in comparison to other (commercial) algorithms, as well as results from a simulation based optimization problem.

Nyckelord: Simulation based optimization, Radial basis functions, Multiobjective, Noise, Response surface, Surrogate model, Black box function



Denna post skapades 2009-06-26. Senast ändrad 2014-09-02.
CPL Pubid: 95314

 

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Institutioner (Chalmers)

Institutionen för matematiska vetenskaper, matematik (2005-2016)

Ämnesområden

Optimeringslära, systemteori

Chalmers infrastruktur