A Gaussian Process Assisted Offline Estimation of Multivariate Gaussian Distribution Algorithm

Abstract

Surrogated assisted evolutionary algorithms are commonly used to solve real-world expensive optimization problems. However, in some situations, no online data is available during the evolution process. In this situation, we have to build surrogate models based on offline historical data, which is known as offline data-driven optimization. Since no new data can be used to improve the surrogate models, offline data-driven optimization remains a challenging problem. In this paper, we propose a Gaussian process assisted offline estimation of multivariate Gaussian distribution algorithm to address the offline data-driven optimization problem. Instead of using surrogate models to predict the fitness values of individuals, we utilize a surrogate model to predict the rankings of individuals based on the frequently used lower confidence bound. In this way, the robustness of the proposed algorithm could be enhanced. Experiments are conducted on five commonly used benchmark problems. The experimental results demonstrate that the proposed offline surrogate model and the multivariate Gaussian estimation of distribution algorithm are able to achieve competitive performance.