论文标题
用于全局优化的批处理顺序自适应设计
Batch Sequential Adaptive Designs for Global Optimization
论文作者
论文摘要
与固定运行的设计相比,顺序自适应设计(SAD)被认为更有效。有效的全球优化(EGO)是用于昂贵的黑盒优化问题的最流行的SAD方法之一。在复杂的计算机实验中,原始自我的公认弱点是它是串行的,因此,现代平行计算技术不能用于加快模拟器实验的运行速度。对于这些多个点的自我方法,重型计算和点聚类是障碍。在这项工作中,通过使用精制的采样/重要性重采样(SIR)方法来搜索具有较大预期改进(EI)值的点的新颖批处理方法,称为“加速自我”。新方法的计算负担要轻得多,并且还避免了点聚类。所提出的SAD的效率通过九个经典测试函数的验证,尺寸为2至12。经验结果表明,所提出的算法确实可以平行于原始自我,并且与其他平行的EGO算法相比,相比之下,尤其是在高维情况下,获得了很大的改进。此外,我们还将新方法应用于支持向量机(SVM)的高参数调整。加速的自我与其他方法获得了可比的交叉验证精度,并且由于平行计算和采样方法,可以减少CPU时间。
Compared with the fixed-run designs, the sequential adaptive designs (SAD) are thought to be more efficient and effective. Efficient global optimization (EGO) is one of the most popular SAD methods for expensive black-box optimization problems. A well-recognized weakness of the original EGO in complex computer experiments is that it is serial, and hence the modern parallel computing techniques cannot be utilized to speed up the running of simulator experiments. For those multiple points EGO methods, the heavy computation and points clustering are the obstacles. In this work, a novel batch SAD method, named "accelerated EGO", is forwarded by using a refined sampling/importance resampling (SIR) method to search the points with large expected improvement (EI) values. The computation burden of the new method is much lighter, and the points clustering is also avoided. The efficiency of the proposed SAD is validated by nine classic test functions with dimension from 2 to 12. The empirical results show that the proposed algorithm indeed can parallelize original EGO, and gain much improvement compared against the other parallel EGO algorithm especially under high-dimensional case. Additionally, we also apply the new method to the hyper-parameter tuning of Support Vector Machine (SVM). Accelerated EGO obtains comparable cross validation accuracy with other methods and the CPU time can be reduced a lot due to the parallel computation and sampling method.