A constrained multi-objective surrogate-based optimization algorithm

Abstract

Surrogate models or metamodels are widely used in the realm of engineering for design optimization to minimize the number of computationally expensive simulations. Most practical problems often have conflicting objectives, which lead to a number of competing solutions which form a Pareto front. Multi-objective surrogate-based constrained optimization algorithms have been proposed in literature, but handling constraints directly is a relatively new research area. Most algorithms proposed to directly deal with multi-objective optimization have been evolutionary algorithms (Multi-Objective Evolutionary Algorithms - MOEAs). MOEAs can handle large design spaces but require a large number of simulations, which might be infeasible in practice, especially if the constraints are expensive. A multi-objective constrained optimization algorithm is presented in this paper which makes use of Kriging models, in conjunction with multi-objective probability of improvement (PoI) and probability of feasibility (PoF) criteria to drive the sample selection process economically. The efficacy of the proposed algorithm is demonstrated on an analytical benchmark function, and the algorithm is then used to solve a microwave filter design optimization problem.