A comparative study of expected improvement-assisted global optimization with different surrogates

Abstract

Efficient global optimization (EGO) uses the surrogate uncertainty estimator called expected improvement (EI) to guide the selection of the next sampling candidates. Theoretically, any modelling methods can be integrated with the EI criterion. To improve the convergence ratio, a multi-surrogate efficient global optimization (MSEGO) was suggested. In practice, the EI-based optimization methods with different surrogates show widely divergent characteristics. Therefore, it is important to choose the most suitable algorithm for a certain problem. For this purpose, four single-surrogate efficient global optimizations (SSEGOs) and an MSEGO involving four surrogates are investigated. According to numerical tests, both the SSEGOs and the MSEGO are feasible for weak nonlinear problems. However, they are not robust for strong nonlinear problems, especially for multimodal and high-dimensional problems. Moreover, to investigate the feasibility of EGO in practice, a material identification benchmark is designed to demonstrate the performance of EGO methods. According to the tests in this study, the kriging EGO is generally the most robust method.