Incremental Data-driven Optimization of Complex Systems in Nonstationary Environments
This work is significant for practitioners optimizing complex systems in real-world dynamic environments where objective functions change over time, offering an incremental improvement over existing methods.
This paper addresses data-driven optimization in dynamic, nonstationary environments, a gap in existing research. The proposed algorithm uses a data stream ensemble learning method to train surrogates for time-varying objective functions and a multi-task evolutionary algorithm to accelerate optimum tracking in the current environment. It demonstrates effectiveness on six dynamic optimization benchmark problems compared to four state-of-the-art algorithms.
Existing work on data-driven optimization focuses on problems in static environments, but little attention has been paid to problems in dynamic environments. This paper proposes a data-driven optimization algorithm to deal with the challenges presented by the dynamic environments. First, a data stream ensemble learning method is adopted to train the surrogates so that each base learner of the ensemble learns the time-varying objective function in the previous environments. After that, a multi-task evolutionary algorithm is employed to simultaneously optimize the problems in the past environments assisted by the ensemble surrogate. This way, the optimization tasks in the previous environments can be used to accelerate the tracking of the optimum in the current environment. Since the real fitness function is not available for verifying the surrogates in offline data-driven optimization, a support vector domain description that was designed for outlier detection is introduced to select a reliable solution. Empirical results on six dynamic optimization benchmark problems demonstrate the effectiveness of the proposed algorithm compared with four state-of-the-art data-driven optimization algorithms.