Surrogate based EA for expensive optimization problems

Abstract

Real life optimization problems often require finding optimal solution to complex high dimensional, multimodal problems involving computationally very expensive fitness function evaluations. Use of a population based iterative technique like evolutionary algorithms in such problem domains is thus practically prohibitive. An attractive alternative is to build surrogates or use an approximation of the actual fitness functions to be evaluated. Many regression and interpolation tools are available to build such meta models. This paper briefly discusses the architectures and use of such meta-modeling tools in an evolutionary optimization context. We further present an evolutionary algorithm framework which involves use of surrogate models for fitness function evaluation. The original framework namely, the dynamic approximate fitness based hybrid EA (DAFHEA) model [14] reduces computation time by controlled use of meta-models (in this case approximate model generated by support vector machine regression) to partially replace the actual function evaluation by approximate function evaluation. However, the underlying assumption in DAFHEA is that the training samples for the meta-model are generated from a single uniform model. This does not take into account uncertain scenarios involving noisy fitness functions. The enhanced model, DAFHEA-II, incorporates a multiple-model based learning approach for the support vector machine approximator to counter effects of noise [15]. Empirical results obtained by evaluating the frameworks using several benchmark functions (both non- noisy and noisy versions) are presented.