Enhancing infill sampling criteria forsurrogate-based constrained optimization

摘要

A popular approach to handling constraints in surrogate-based optimization is through the addition of penalty functions to an infill sampling criterion that seeks objective improvement. Typical sampling metrics, such as expected improvement tend to have multimodal landscapes and can be difficult to search. When the problem is transformed using a penalty approach the search can become riddled with cliffs and further increases the complexity of the landscape. Here we avoid searching this aggregated space by treating objective improvement and constraint satisfaction as separate goals, using multiobjective optimization. This approach is used to enhance the efficiency and reliability of infill sampling and shows some promising results. Further to this, by selecting model update points in close proximity to the constraint boundaries, the regions that are likely to contain the feasible optimum can be better modelled. The resulting enhanced probability of feasibility is used to encourage the exploitation of constraint boundaries.