A Kriging-based constrained global optimization algorithm for expensive black-box functions with infeasible initial points

作者：Li, Yaohui; Wu, Yizhong^*; Zhao, Jianjun; Chen, Liping

来源：Journal of Global Optimization, 2017, 67(1-2): 343-366.

DOI：10.1007/s10898-016-0455-z

• Constrained global optimization
• Black-box functions
• Surrogate models
• Kriging
• Infill search criterion

In many engineering optimization problems, the objective and the constraints which come from complex analytical models are often black-box functions with extensive computational effort. In this case, it is necessary for optimization process to use sampling data to fit surrogate models so as to reduce the number of objective and constraint evaluations as soon as possible. In addition, it is sometimes difficult for the constrained optimization problems based on surrogate models to find a feasible point, which is the premise of further searching for a global optimal feasible solution. For this purpose, a new Kriging-based Constrained Global Optimization (KCGO) algorithm is proposed. Unlike previous Kriging-based methods, this algorithm can dispose black-box constrained optimization problem even if all initial sampling points are infeasible. There are two pivotal phases in KCGO algorithm. The main task of the first phase is to find a feasible point when there is no feasible data in the initial sample. And the aim of the second phase is to obtain a better feasible point under the circumstances of fewer expensive function evaluations. Several numerical problems and three design problems are tested to illustrate the feasibility, stability and effectiveness of the proposed method.

• 出版日期2017-1
• 单位华中科技大学; 许昌学院