Enhancing pattern search for global optimization with an additive global and local Gaussian Process model

Abstract

Optimization of complex real-time control systems often requires efficient response to any system changes over time. By combining pattern search optimization with a fast estimated Gaussian Process model, we are able to perform global optimization more efficiently for response surfaces with multiple local minimums or even dramatic changes over the design space. Our approach extends pattern search for global optimization problems by incorporating the global and local information provided by an additive global and local Gaussian Process model. We further develop a global search method to identify multiple promising local regions for parallel implementation of local pattern search. We demonstrate our methods on a standard test problem.