Balancing global and local search in parallel efficient global optimization algorithms

作者：Zhan, Dawei; Qian, Jiachang; Cheng, Yuansheng^*

来源：Journal of Global Optimization, 2017, 67(4): 873-892.

DOI：10.1007/s10898-016-0449-x

• Surrogate-based optimization
• Efficient global optimization
• Multi-modal optimization
• Parallel computing

Most parallel efficient global optimization (EGO) algorithms focus only on the parallel architectures for producing multiple updating points, but give few attention to the balance between the global search (i.e., sampling in different areas of the search space) and local search (i.e., sampling more intensely in one promising area of the search space) of the updating points. In this study, a novel approach is proposed to apply this idea to further accelerate the search of parallel EGO algorithms. In each cycle of the proposed algorithm, all local maxima of expected improvement (EI) function are identified by a multi-modal optimization algorithm. Then the local EI maxima with value greater than a threshold are selected and candidates are sampled around these selected EI maxima. The results of numerical experiments show that, although the proposed parallel EGO algorithm needs more evaluations to find the optimum compared to the standard EGO algorithm, it is able to reduce the optimization cycles. Moreover, the proposed parallel EGO algorithm gains better results in terms of both number of cycles and evaluations compared to a state-of-the-art parallel EGO algorithm over six test problems.

• 出版日期2017-4
• 单位华中科技大学