论文标题
通过最佳决策树进行全球优化
Global Optimization via Optimal Decision Trees
论文作者
论文摘要
全球优化文献非常重视将棘手的优化问题减少到更可行的结构化优化形式中。为了实现这一目标,许多现有方法仅限于使用可能数学基本的子集的明确约束和目标进行优化。这些是在现实世界中限制的,在现实环境中出现更一般的显式和黑匣子约束。利用混合企业优化(MIO)的巨大速度提高和机器学习的最新研究,我们提出了一种新方法,使用具有超平面(OCT-HS)的最佳决策树来学习全球优化问题的MIO兼容近似。这种约束学习方法仅需要一个有界的变量域,并且可以解决明确和不明显的约束。我们有效地解决了MIO近似,以找到对全局优化问题的近乎最佳的,几乎可行的解决方案。我们使用一系列投影梯度下降迭代进一步改善了解决方案。我们测试了文献和现实世界设计问题的许多数值基准测试的方法,这表明了其有效寻找全球最佳的希望。
The global optimization literature places large emphasis on reducing intractable optimization problems into more tractable structured optimization forms. In order to achieve this goal, many existing methods are restricted to optimization over explicit constraints and objectives that use a subset of possible mathematical primitives. These are limiting in real-world contexts where more general explicit and black box constraints appear. Leveraging the dramatic speed improvements in mixed-integer optimization (MIO) and recent research in machine learning, we propose a new method to learn MIO-compatible approximations of global optimization problems using optimal decision trees with hyperplanes (OCT-Hs). This constraint learning approach only requires a bounded variable domain, and can address both explicit and inexplicit constraints. We solve the MIO approximation efficiently to find a near-optimal, near-feasible solution to the global optimization problem. We further improve the solution using a series of projected gradient descent iterations. We test the method on a number of numerical benchmarks from the literature as well as real-world design problems, demonstrating its promise in finding global optima efficiently.