Enhanced Global Optimization With Parallel Global and Local Structures for Real-Time Control Systems

Abstract

In practice, objective functions of real-time control systems can have multiple local minimums or can dramatically change over the function space, making them hard to optimize. To efficiently optimize such systems, in this paper, we develop a parallel global optimization framework that combines direct search methods with parallel Bayesian optimization. It consists of an iterative global and local search that searches broadly through the entire global space for promising regions and then efficiently exploits each local promising region. We prove the asymptotic convergence properties of the proposed framework and conduct several numerical experiments to illustrate its empirical performance. We also provide a real-time control problem to illustrate the efficiency of our proposed algorithm. <italic xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">Note to Practitioners</i> —This work is motivated by a collision avoidance problem of vessels aided with onboard agent-based simulations. The simulation on one vessel can predict potential conflicts with other vessels on a pre-defined trajectory. In heavy congestion regions, the environment is highly dynamic and thus it is difficult to find a much safer alternative trajectory if collision is predicted on the current one. Moreover, for such real-time decisions, the control system should be quick in response to improve safety. The proposed metamodel based algorithm is designed for quick decision in such highly dynamic systems. The algorithm employs a decomposition of the response surface to better handle the multi-modal surface resulting from the highly dynamic environment. Specifically, it first looks at the large-scale trend globally (filter out the many local fluctuations that may otherwise trap the algorithm) to locate potential promising regions and then proceeds to this local regions for more detailed local search. To make quick decisions, it uses fast direct search algorithms in the local search phase and applies a parallel search scheme to enjoy the abundant computing power. Both the theoretical analysis and the simulation studies demonstrate that the proposed algorithm can provide better decisions quickly. We also note that this algorithm is not limited to real-time control or simulation-based system. In the case where each run of the experiment is expensive and the budget is limited for the final decision and when the response function is multi-modal, this algorithm can hopefully become a quite efficient and competitive approach. The multi-modal responses have broad applications in the area of control, planning and operations research, such as robot navigating and reinforcement learning.