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Locally weighted regression models for surrogate-assisted design optimization

Bastien Talgorn (bastientalgorn***at***fastmail.com)
Charles Audet (charles.audet***at***gerad.ca)
Sébastien Le Digabel (sebastien.le.digabel***at***gerad.ca)
Michael Kokkolaras (michael.kokkolaras***at***mcgill.ca)

Abstract: Locally weighted regression combines the advantages of polynomial regression and kernel smoothing. We present three ideas for appropriate and effective use of LOcally WEighted Scatterplot Smoothing (LOWESS) models for surrogate optimization. First, a method is proposed to reduce the computational cost of LOWESS models. Second, a local scaling coefficient is introduced to adapt LOWESS models to the density of neighboring points while retaining smoothness. Finally, an appropriate order error metric is used to select the optimal shape coefficient of the LOWESS model. Our surrogate-assisted optimization method relies on the the Mesh Adaptive Direct Search (MADS) algorithm in which LOWESS models are used to generate and rank promising candidates. The blackbox functions governing the optimization problem are then evaluated at these ranked candidates with an opportunistic strategy, thus minimizing CPU time. Extensive computational results are reported for three engineering design problems. These results demonstrate the effectiveness of the LOWESS models as well as the order error metric for surrogate-assisted optimization.

Keywords: Local regression, Order Error, Surrogate models, Derivative-Free Optimization, MADS

Category 1: Nonlinear Optimization

Category 2: Applications -- Science and Engineering (Mechanical Engineering )

Category 3: Convex and Nonsmooth Optimization (Nonsmooth Optimization )

Citation: B. Talgorn, C. Audet, M. Kokkolaras, and S. Le Digabel, Locally weighted regression models for surrogate-assisted design optimization. Optimization and Engineering, 19(1), p. 213-238, 2018.


Entry Submitted: 11/16/2016
Entry Accepted: 11/16/2016
Entry Last Modified: 02/16/2018

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