An adaptive multiquadric radial basis function method for expensive black-box mixed-integer nonlinear constrained optimization

Abstract

Many real-world optimization problems comprise objective functions that are based on the output of one or more simulation models. As these underlying processes can be time and computation intensive, the objective function is deemed expensive to evaluate. While methods to alleviate this cost in the optimization procedure have been explored previously, less attention has been given to the treatment of expensive constraints. This article presents a methodology for treating expensive simulation-based nonlinear constraints alongside an expensive simulation-based objective function using adaptive radial basis function techniques. Specifically, a multiquadric radial basis function approximation scheme is developed, together with a robust training method, to model not only the costly objective function, but also each expensive simulation-based constraint defined in the problem. The article presents the methodology developed for expensive nonlinear constrained optimization problems comprising both continuous and integer variables. Results from various test cases, both analytical and simulation-based, are presented.