Filter-based stochastic algorithm for global optimization
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/1822/66429 |
Resumo: | We propose the general Filter-based Stochastic Algorithm (FbSA) for the global optimization of nonconvex and nonsmooth constrained problems. Under certain conditions on the probability distributions that generate the sample points, almost sure convergence is proved. In order to optimize problems with computationally expensive black-box objective functions, we develop the FbSA-RBF algorithm based on the general FbSA and assisted by Radial Basis Function (RBF) surrogate models to approximate the objective function. At each iteration, the resulting algorithm constructs/updates a surrogate model of the objective function and generates trial points using a dynamic coordinate search strategy similar to the one used in the Dynamically Dimensioned Search method. To identify a promising best trial point, a non-dominance concept based on the values of the surrogate model and the constraint violation at the trial points is used. Theoretical results concerning the sufficient conditions for the almost surely convergence of the algorithm are presented. Preliminary numerical experiments show that the FbSA-RBF is competitive when compared with other known methods in the literature. |
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Filter-based stochastic algorithm for global optimizationDynamically dimensioned searchFilter methodGlobal optimizationScience & TechnologyWe propose the general Filter-based Stochastic Algorithm (FbSA) for the global optimization of nonconvex and nonsmooth constrained problems. Under certain conditions on the probability distributions that generate the sample points, almost sure convergence is proved. In order to optimize problems with computationally expensive black-box objective functions, we develop the FbSA-RBF algorithm based on the general FbSA and assisted by Radial Basis Function (RBF) surrogate models to approximate the objective function. At each iteration, the resulting algorithm constructs/updates a surrogate model of the objective function and generates trial points using a dynamic coordinate search strategy similar to the one used in the Dynamically Dimensioned Search method. To identify a promising best trial point, a non-dominance concept based on the values of the surrogate model and the constraint violation at the trial points is used. Theoretical results concerning the sufficient conditions for the almost surely convergence of the algorithm are presented. Preliminary numerical experiments show that the FbSA-RBF is competitive when compared with other known methods in the literature.The authors are grateful to the anonymous referees for their fruitful comments and suggestions.The first and second authors were partially supported by Brazilian Funds through CAPES andCNPq by Grants PDSE 99999.009400/2014-01 and 309303/2017-6. The research of the thirdand fourth authors were partially financed by Portuguese Funds through FCT (Fundação para Ciência e Tecnologia) within the Projects UIDB/00013/2020 and UIDP/00013/2020 of CMAT-UM and UIDB/00319/2020.SpringerUniversidade do MinhoMacêdo, M. Joseane F. G.Karas, Elizabeth W.Costa, M. Fernanda P.Rocha, Ana Maria A. C.20202020-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/66429eng0925-500110.1007/s10898-020-00917-9info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-21T12:10:54Zoai:repositorium.sdum.uminho.pt:1822/66429Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:02:35.649002Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Filter-based stochastic algorithm for global optimization |
title |
Filter-based stochastic algorithm for global optimization |
spellingShingle |
Filter-based stochastic algorithm for global optimization Macêdo, M. Joseane F. G. Dynamically dimensioned search Filter method Global optimization Science & Technology |
title_short |
Filter-based stochastic algorithm for global optimization |
title_full |
Filter-based stochastic algorithm for global optimization |
title_fullStr |
Filter-based stochastic algorithm for global optimization |
title_full_unstemmed |
Filter-based stochastic algorithm for global optimization |
title_sort |
Filter-based stochastic algorithm for global optimization |
author |
Macêdo, M. Joseane F. G. |
author_facet |
Macêdo, M. Joseane F. G. Karas, Elizabeth W. Costa, M. Fernanda P. Rocha, Ana Maria A. C. |
author_role |
author |
author2 |
Karas, Elizabeth W. Costa, M. Fernanda P. Rocha, Ana Maria A. C. |
author2_role |
author author author |
dc.contributor.none.fl_str_mv |
Universidade do Minho |
dc.contributor.author.fl_str_mv |
Macêdo, M. Joseane F. G. Karas, Elizabeth W. Costa, M. Fernanda P. Rocha, Ana Maria A. C. |
dc.subject.por.fl_str_mv |
Dynamically dimensioned search Filter method Global optimization Science & Technology |
topic |
Dynamically dimensioned search Filter method Global optimization Science & Technology |
description |
We propose the general Filter-based Stochastic Algorithm (FbSA) for the global optimization of nonconvex and nonsmooth constrained problems. Under certain conditions on the probability distributions that generate the sample points, almost sure convergence is proved. In order to optimize problems with computationally expensive black-box objective functions, we develop the FbSA-RBF algorithm based on the general FbSA and assisted by Radial Basis Function (RBF) surrogate models to approximate the objective function. At each iteration, the resulting algorithm constructs/updates a surrogate model of the objective function and generates trial points using a dynamic coordinate search strategy similar to the one used in the Dynamically Dimensioned Search method. To identify a promising best trial point, a non-dominance concept based on the values of the surrogate model and the constraint violation at the trial points is used. Theoretical results concerning the sufficient conditions for the almost surely convergence of the algorithm are presented. Preliminary numerical experiments show that the FbSA-RBF is competitive when compared with other known methods in the literature. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020 2020-01-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/1822/66429 |
url |
http://hdl.handle.net/1822/66429 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
0925-5001 10.1007/s10898-020-00917-9 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Springer |
publisher.none.fl_str_mv |
Springer |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799132429363970048 |