Expensive Optimisation: A Metaheuristics Perspective

Abstract: Stochastic, iterative search methods such as Evolutionary Algorithms (EAs) are proven to be efficient optimizers. However, they require evaluation of the candidate solutions which may be prohibitively expensive in many real world optimization problems. Use of approximate models or surrogates is being explored as a way to reduce the number of such evaluations. In this paper we investigated three such methods. The first method (DAFHEA) partially replaces an expensive function evaluation by its approximate model. The approximation is realized with support vector machine (SVM) regression models. The second method (DAFHEA II) is an enhancement on DAFHEA to accommodate for uncertain environments. The third one uses surrogate ranking with preference learning or ordinal regression. The fitness of the candidates is estimated by modeling their rank. The techniques' performances on some of the benchmark numerical optimization problems have been reported. The comparative benefits and shortcomings of both techniques have been identified.