Expensive Optimisation: A Metaheuristics Perspective
This work addresses the challenge of high computational costs in optimization for researchers and practitioners, but it is incremental as it builds on existing surrogate techniques.
The paper tackled the problem of expensive optimization in evolutionary algorithms by investigating three surrogate methods to reduce function evaluations, reporting their performances on benchmark problems and identifying comparative benefits and shortcomings.
Stochastic, iterative search methods such as Evolutionary Algorithms (EAs) are proven to be efficient optimizers. However, they require evaluation of the candidate solutions which may be prohibitively expensive in many real world optimization problems. Use of approximate models or surrogates is being explored as a way to reduce the number of such evaluations. In this paper we investigated three such methods. The first method (DAFHEA) partially replaces an expensive function evaluation by its approximate model. The approximation is realized with support vector machine (SVM) regression models. The second method (DAFHEA II) is an enhancement on DAFHEA to accommodate for uncertain environments. The third one uses surrogate ranking with preference learning or ordinal regression. The fitness of the candidates is estimated by modeling their rank. The techniques' performances on some of the benchmark numerical optimization problems have been reported. The comparative benefits and shortcomings of both techniques have been identified.