论文标题
使用基于自适应RBF的替代模型通过不确定性定量找到昂贵功能的最佳点
Finding Optimal Points for Expensive Functions Using Adaptive RBF-Based Surrogate Model Via Uncertainty Quantification
论文作者
论文摘要
昂贵功能的全球优化在物理和计算机实验中具有重要的应用。开发有效的优化方案是一个具有挑战性的问题,因为每个功能评估都可能昂贵,并且该功能的派生信息通常不可用。我们通过不确定性定量提出了使用自适应径向基函数(RBF)替代模型的新型全局优化框架。该框架由两个迭代步骤组成。它首先采用基于RBF的贝叶斯替代模型来近似真实函数,其中RBF的参数可以自适应地估计并每次探索新点时都可以进行更新。然后,它利用模型引导的选择标准来从候选设置中识别用于功能评估的新点。此处采用的选择标准是预期改进(EI)标准的示例版本。我们使用标准测试功能进行仿真研究,这表明所提出的方法具有一些优势,尤其是当真实表面不是很光滑时。此外,我们还提出了改进的方法,以提高搜索性能,以识别全球最佳点并处理更高维度的方案。
Global optimization of expensive functions has important applications in physical and computer experiments. It is a challenging problem to develop efficient optimization scheme, because each function evaluation can be costly and the derivative information of the function is often not available. We propose a novel global optimization framework using adaptive Radial Basis Functions (RBF) based surrogate model via uncertainty quantification. The framework consists of two iteration steps. It first employs an RBF-based Bayesian surrogate model to approximate the true function, where the parameters of the RBFs can be adaptively estimated and updated each time a new point is explored. Then it utilizes a model-guided selection criterion to identify a new point from a candidate set for function evaluation. The selection criterion adopted here is a sample version of the expected improvement (EI) criterion. We conduct simulation studies with standard test functions, which show that the proposed method has some advantages, especially when the true surface is not very smooth. In addition, we also propose modified approaches to improve the search performance for identifying global optimal points and to deal with the higher dimension scenarios.