Rémy Priem

Rémy Priem, Youssef Diouane, Nathalie Bartoli et al.

Bayesian optimization (BO) is one of the most powerful strategies to solve computationally expensive-to-evaluate blackbox optimization problems. However, BO methods are conventionally used for optimization problems of small dimension because of the curse of dimensionality. In this paper, a high-dimensionnal optimization method incorporating linear embedding subspaces of small dimension is proposed to efficiently perform the optimization. An adaptive learning strategy for these linear embeddings is carried out in conjunction with the optimization. The resulting BO method, named efficient global optimization coupled with random and supervised embedding (EGORSE), combines in an adaptive way both random and supervised linear embeddings. EGORSE has been compared to state-of-the-art algorithms and tested on academic examples with a number of design variables ranging from 10 to 600. The obtained results show the high potential of EGORSE to solve high-dimensional blackbox optimization problems, in terms of both CPU time and the limited number of calls to the expensive blackbox simulation.

Rémy Priem, Nathalie Bartoli, Youssef Diouane et al.

Bayesian optimization methods have been successfully applied to black box optimization problems that are expensive to evaluate. In this paper, we adapt the so-called super effcient global optimization algorithm to solve more accurately mixed constrained problems. The proposed approach handles constraints by means of upper trust bound, the latter encourages exploration of the feasible domain by combining the mean prediction and the associated uncertainty function given by the Gaussian processes. On top of that, a refinement procedure, based on a learning rate criterion, is introduced to enhance the exploitation and exploration trade-off. We show the good potential of the approach on a set of numerical experiments. Finally, we present an application to conceptual aircraft configuration upon which we show the superiority of the proposed approach compared to a set of the state-of-the-art black box optimization solvers. Keywords: Global Optimization, Mixed Constrained Optimization, Black box optimization, Bayesian Optimization, Gaussian Process.