Ensemble of surrogate based global optimization methods using hierarchical design space reduction

Abstract

For computationally expensive black-box problems, surrogate models are widely employed to reduce the needed computation time and efforts during the search of the global optimum. However, the construction of an effective surrogate model over a large design space remains a challenge in many cases. In this work, a new global optimization method using an ensemble of surrogates and hierarchical design space reduction is proposed to deal with the optimization problems with computation-intensive, black-box objective functions. During the search, an ensemble of three representative surrogate techniques with optimized weight factors is used for selecting promising sample points, narrowing down space exploration and identifying the global optimum. The design space is classified into: Original Global Space (OGS), Promising Joint Space (PJS), Important Local Space (ILS), using the newly proposed hierarchical design space reduction (HSR). Tested using eighteen representative benchmark and two engineering design optimization problems, the newly proposed global optimization method shows improved capability in identifying promising search area and reducing design space, and superior search efficiency and robustness in identifying the global optimum.