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Response surfaces with discounted information for global optima tracking in dynamic environments
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Morales-Enciso, Sergio and Branke, Jürgen (2014) Response surfaces with discounted information for global optima tracking in dynamic environments. In: Terrazas , German and Otero , Fernando E. B. and Masegosa , Antonio D., (eds.) Nature Inspired Cooperative Strategies for Optimization (NICSO 2013). Studies in Computational Intelligence, Volume 512 . Springer, pp. 57-69. ISBN 9783319016917
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Official URL: http://dx.doi.org/10.1007/978-3-319-01692-4_5
Abstract
Two new methods for incorporating old and recent information into a surrogate model in order to improve the tracking of the global optima of expensive black boxes are presented in this paper. The response surfaces are built using Gaussian processes fitted to data which is obtained through sequential sampling. The efficient global optimization (EGO) algorithm applied to the generated response surface is used to determine the next most promising sample (where the expected improvement is maximized). The goal is to find the global maxima of an expensive to evaluate objective function which changes after a given number of function evaluations with as few samples as possible. Exploiting old information in a discounted manner significantly improves the search, which is shown through numerical experiments performed using the moving peaks benchmark (MPB).
| Item Type: | Book Item | ||||
|---|---|---|---|---|---|
| Divisions: | Faculty of Science, Engineering and Medicine > Science > Physics Faculty of Social Sciences > Warwick Business School |
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| Series Name: | Studies in Computational Intelligence | ||||
| Publisher: | Springer | ||||
| ISBN: | 9783319016917 | ||||
| ISSN: | 1860-949X | ||||
| Book Title: | Nature Inspired Cooperative Strategies for Optimization (NICSO 2013) | ||||
| Editor: | Terrazas , German and Otero , Fernando E. B. and Masegosa , Antonio D. | ||||
| Official Date: | 2014 | ||||
| Dates: |
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| Volume: | Volume 512 | ||||
| Number of Pages: | 355 | ||||
| Page Range: | pp. 57-69 | ||||
| DOI: | 10.1007/978-3-319-01692-4_5 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access |
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