Constrained efficient global optimization with support vector machines

Anirban Basudhar

doi:10.1007/s00158-011-0745-5

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Constrained efficient global optimization with support vector machines

2012-01-31

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DOI：10.1007/s00158-011-0745-5

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Abstract

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This paper presents a methodology for constrained efficient global optimization (EGO) using support vector machines (SVMs). While the objective function is approximated using Kriging, as in the original EGO formulation, the boundary of the feasible domain is approximated explicitly as a function of the design variables using an SVM. Because SVM is a classification approach and does not involve response approximations, this approach alleviates issues due to discontinuous or binary responses. More importantly, several constraints, even correlated, can be represented using one unique SVM, thus considerably simplifying constrained problems. In order to account for constraints, this paper introduces an SVM-based probability of feasibility using a new Probabilistic SVM model. The proposed optimization scheme is constituted of two levels. In a first stage, a global search for the optimal solution is performed based on the expected improvement of the objective function and the probability of feasibility. In a second stage, the SVM boundary is locally refined using an adaptive sampling scheme. An unconstrained and a constrained formulation of the optimization problem are presented and compared. Several analytical examples are used to test the formulations. In particular, a problem with 99 constraints and an aeroelasticity problem with binary output are presented. Overall, the results indicate that the constrained formulation is more robust and efficient.

Keywords:

Efficient global optimization

Constrained optimization

Support vector machines

Binary problems

Discontinuities

Classification

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