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heal-research / HeuristicLab

HeuristicLab - An environment for heuristic and evolutionary optimization
https://dev.heuristiclab.com
GNU General Public License v3.0
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Implement EGO #2745

Open HeuristicLab-Trac-Bot opened 7 years ago

HeuristicLab-Trac-Bot commented 7 years ago

Issue migrated from trac ticket # 2745

component: Algorithms | priority: medium | keywords: EGO, Surrogate

2017-03-09 08:48:07: @BernhardWerth created the issue

Implement Efficient Global Optimization(EGO)

In many engineering optimization problems, the number of function evaluations is severely limited by time or cost. These problems pose a special challenge to the field of global optimization, since existing methods often require more function evaluations than can be comfortably afforded. One way to address this challenge is to fit response surfaces to data collected by evaluating the objective and constraint functions at a few points. These surfaces can then be used for visualization, tradeoff analysis, and optimization. In this paper, we introduce the reader to a response surface methodology that is especially good at modeling the nonlinear, multimodal functions that often occur in engineering. We then show how these approximating functions can be used to construct an efficient global optimization algorithm with a credible stopping rule. The key to using response surfaces for global optimization lies in balancing the need to exploit the approximating surface (by sampling where it is minimized) with the need to improve the approximation (by sampling where prediction error may be high). Striking this balance requires solving certain auxiliary problems which have previously been considered intractable, but we show how these computational obstacles can be overcome.

[1] http://www.ressources-actuarielles.net/ext/isfa/1226.nsf/9c8e3fd4d8874d60c1257052003eced6/f84f7ac703bf5862c12576d8002f5259/$FILE/Jones98.pdf

HeuristicLab-Trac-Bot commented 7 years ago

2017-03-09 08:50:01: @BernhardWerth commented

r14735 created new branch folder

HeuristicLab-Trac-Bot commented 7 years ago

2017-03-09 09:01:03: @BernhardWerth commented

r14736 moved folder to correct place

HeuristicLab-Trac-Bot commented 7 years ago

2017-03-10 08:08:01: @BernhardWerth commented

r14741 migrated EGO from Connected Vehicles to its own branch, several modifications/simplifications along the way

HeuristicLab-Trac-Bot commented 7 years ago

2017-03-20 12:08:14: @BernhardWerth commented

r14768 fixed pausing and stopping and namespaces; Added MaximalDatasetSize and rudimentary ISurrogateAlgorithm-interface

HeuristicLab-Trac-Bot commented 7 years ago

2017-04-04 12:38:56: @BernhardWerth commented

r14818 added several new InfillCriteria and moved Parameters from the InfillProblem to the Criteria themselves; added Sanitiy checks for GaussianProcessRegression

HeuristicLab-Trac-Bot commented 7 years ago

2017-04-07 09:35:01: @BernhardWerth commented

r14833 added LatinHyperCubeDesign as possible InitialSamplingPlan

HeuristicLab-Trac-Bot commented 7 years ago

2017-06-23 12:43:41: @BernhardWerth removed milestone (was HeuristicLab 3.3.15)

HeuristicLab-Trac-Bot commented 7 years ago

2017-06-26 09:25:59: @BernhardWerth commented

r15064 implemented EGO as EngineAlgorithm + some simplifications in the IInfillCriterion interface

HeuristicLab-Trac-Bot commented 7 years ago

2017-08-22 15:01:57: @BernhardWerth commented

r15338 fixed bug concerning new Start and StartAsync methods; passed CancellationToken to sub algorithms

HeuristicLab-Trac-Bot commented 7 years ago

2017-08-29 11:28:44: @BernhardWerth commented

r15343 added discretized EGO-version for use with IntegerVectors

HeuristicLab-Trac-Bot commented 7 years ago

2017-08-29 11:31:58: @BernhardWerth uploaded file DataAnalysis.patch (2.3 KiB)

Annotation of DataAnalysisAlgorithms with Interface

HeuristicLab-Trac-Bot commented 7 years ago

2017-08-29 11:32:27: @BernhardWerth changed status from new to accepted

HeuristicLab-Trac-Bot commented 6 years ago

2018-06-29 09:07:15: @jkarder commented

r15976: worked on EGO implementation

  • added parameter for initial sample set (only for D-EGO)
  • fixed project references and output paths
  • minor changes
HeuristicLab-Trac-Bot commented 6 years ago

2018-08-30 09:39:11: @abeham commented

please rename your branch by prepending it with the ticket number

HeuristicLab-Trac-Bot commented 6 years ago

2018-08-30 09:54:51: @BernhardWerth commented

r16106 renamed branch to include ticket number

HeuristicLab-Trac-Bot commented 5 years ago

2019-01-18 13:41:35: @jkarder commented

r16537: updated build script

HeuristicLab-Trac-Bot commented 4 years ago

2019-10-15 16:45:17: @BernhardWerth commented

r17332 updated persistence to HEAL.Attic

HeuristicLab-Trac-Bot commented 4 years ago

2019-10-18 08:51:55: @BernhardWerth commented

r17337 forgot to add Storable Tags to Interfaces