带隐藏约束昂贵黑箱问题的自适应代理优化方法  

An adaptive surrogate optimization method for expensive black-box problems with hidden constraints

作　　者：白富生[1] 兰秘 BAI Fusheng;LAN Mi(National Center for Applied Mathematics in Chongqing,Chongqing Normal University,Chongqing 401331,China;School of Mathematical Sciences,Chongqing Normal University,Chongqing 401331,China)

机构地区：[1]重庆师范大学重庆国家应用数学中心,重庆401331 [2]重庆师范大学数学科学学院,重庆401331

出　　处：《运筹学学报（中英文）》2024年第1期89-100,共12页Operations Research Transactions

基　　金：国家自然科学基金(Nos.11991024,11871128);重庆市技术创新与应用发展专项重点项目(No.cstc2021jscx-jbgsX0001);重庆市教委科学技术研究计划重点项目(No.KJZD-K202114801)。

摘　　要：针对带隐藏约束的昂贵黑箱全局优化问题,提出采用自适应转换搜索策略的代理优化方法。在转换搜索子步中采用与已估值点个数相关的标准差在当前最优点附近通过随机扰动生成候选点,以更好地平衡局部搜索和全局搜索。为更好地近似真实黑箱目标函数,采用了自适应组合目标代理模型。在50个测试问题上进行了数值实验,计算结果说明了所提算法的有效性。A surrogate optimization method with adaptive transition search strate-gy is proposed for expensive black-box problems with hidden constraints.In the sub-steps of the transition search,a variance related to the number of evaluated points is used for the generation of trial points by random perturbation to better balance the local and global searches.In order to better approximate the real black box objective function,an adaptively combined objective surrogate model is adopted.The effectiveness of the proposed algorithm is demonstrated by the results of the numerical experiments carried out on 50 test problems.

关 键 词：昂贵黑箱问题 全局优化 隐藏约束 代理优化 

分 类 号：O221.2[理学—运筹学与控制论]