A Kriging-based sequential optimization method with dual transformation for black-box models

摘要

A Kriging-based global optimization method is proposed to solve black-box unconstrained design problems in this work. Firstly, the non-convex Kriging optimization problem is converted into the two convex programing problems by the canonical dual transform to quickly get global optimal solution. Then, PSO (Particle Swarm Optimization) algorithm is adopted to find next promising design point by exploring and optimizing the transformed problems. The proposed method not only reduces the computational burden, but also effectively balances local and global search behavior. Some well-known numerical test functions and a real engineering example are investigated to illustrate that the presented method can further enhance the feasibility, validity and robustness of the optimization process in contrast with other global optimization algorithms.