노이즈 필터링을 적용한 반응표면 기반 순차적 근사 최적화

Abstract

In this paper, a new method for constrained optimization of noisy functions is proposed. In approximate optimization using response surface methods, if constraints have severe noise, the approximate feasible region defined by approximate constraints is apt to include some of the infeasible region defined by actual constraints. This can cause the approximate optimum to converge into the infeasible region. In the proposed method, the approximate optimization is performed with the approximate constraints shifted by their deviations, which are calculated using a diagonal quadratic response surface method. This can prevent the approximate optimum from converging into the infeasible region. To fit the objective and constraints into diagonal quadratic models, we select the center and 4 additional points along each axis of design variables as experimental points. The deviation of each function is calculated using the differences between the real and approximate function values at the experimental points. A sequential approximate optimization technique based on the trust region algorithm is adopted to manage approximate models. The proposed approach is validated by solving some design problems. The results of the problems show the effectiveness of the proposed method.