A model-adaptive evolutionary algorithm for optimization

Abstract

Many applications in engineering and science rely on the optimization of computationally expensive functions. A successful approach in such scenarios is to couple an evolutionary algorithm with a mathematical model which replaces the expensive function. However, models introduce several difficulties, such as their inherent inaccuracy, and the difficulty of matching a model to a particular problem. To address these issues, this paper proposes a model-based evolutionary algorithm with two main implementations: (a) it combats model inaccuracy with a tailored trust-region approach to manage the model during the search, and to ensure convergence to an optimum of the true expensive function, and (b) during the search it continuously selects an optimal model type out of a set of candidate models, resulting in a model-adaptive optimization search. Extensive performance analysis shows the efficacy of the proposed algorithm.