INTRODUCTION AND DEVELOPMENT OF SURROGATE MANAGEMENT FRAMEWORK FOR SOLVING OPTIMIZATION PROBLEMS

Subject Areas : International Journal of Mathematical Modelling & Computations

B. Azarkhalili ¹ , M. Rasouli ² , P. Moghadas ³ , B. Mehri ⁴

1 - Sharif University of Technology, Azadi Ave, Tehran Iran, Islamic Republic of Mathematics Department
2 - Sharif University of Technology, Azadi Ave, Tehran Iran, Islamic Republic of Electrical Engineering Department
3 - Sharif University of Technology, Azadi Ave, Tehran Iran, Islamic Republic of Aerospace Engineering Department
4 - Sharif University of Technology, Azadi Ave, Tehran Iran, Islamic Republic of Mathematics Department

Received: 2016-04-13 Accepted : 2016-04-13 Published : 2011-09-23

Keywords: Optimization, Surrogate Method, Pattern Search, Polling, Searching Methods,

Abstract :

In this paper, we have outlined the surrogate management framework for optimization of expensive functions. An initial simple iterative method which we call the “Strawman” method illustrates how surrogates can be incorporated into optimization to stand in for the most expensive function. These ideas are made rigorous by incorporating them into the framework of pattern search methods. The SMF algorithm is presented, including mesh definition, and choice of polling points. In summarizing the ideas of surrogate-based optimization, we enrich this paper with an admittedly simplistic analogy which helps to compare optimization strategies.