Abstract
This paper introduces a Delaunay-based derivative-free optimization algorithm, dubbed \(\varDelta \)-DOGS(\(\varOmega \)), for problems with both (a) a nonconvex, computationally expensive objective function f(x), and (b) nonlinear, computationally expensive constraint functions \(c_\ell (x)\) which, taken together, define a nonconvex, possibly even disconnected feasible domain \(\varOmega \), which is assumed to lie within a known rectangular search domain \(\varOmega _s\), everywhere within which the f(x) and \(c_\ell (x)\) may be evaluated. Approximations of both the objective function f(x) as well as the feasible domain \(\varOmega \) are developed and refined as the iterations proceed. The approach is practically limited to the problems with less than about ten adjustable parameters. The work is an extension of our original Delaunay-based optimization algorithm (see JOGO DOI: 10.1007/s10898-015-0384-2), and inherits many of the constructions and strengths of that algorithm, including: (1) a surrogate function p(x) interpolating all existing function evaluations and summarizing their trends, (2) a synthetic, piecewise-quadratic uncertainty function e(x) built on the framework of a Delaunay triangulation amongst existing datapoints, (3) a tunable balance between global exploration (large K) and local refinement (small K), (4) provable global convergence for a sufficiently large K, under the assumption that the objective and constraint functions are twice differentiable with bounded Hessians, (5) an Adaptive-K variant of the algorithm that efficiently tunes K automatically based on a target value of the objective function, and (6) remarkably fast global convergence on a variety of benchmark problems.
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Notes
This approach generalizes the SQP method, where a quadratic function is used to locally model the objective function, and linear function is used to locally model the constraints.
If \(A,B,C > 0\) and \(A^2 \le A\,B+C\) then \(A\le B + \sqrt{C} \le 2\,\max \{B, \sqrt{C}\}.\)
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Acknowledgements
The authors gratefully acknowledge Dr. Fred Y. Hadaegh and Dr. Firouz M. Naderi for their support, Professors Alison Marsden for her assistance in developing an efficient SMF code, Robert Gramacy and Sebastien Le Digabel for sharing their Lockwood test problem code, and Dr. Stefan Wild for his constructive feedback. The authors gratefully acknowledge funding from AFOSR FA 9550-12-1-0046, from the Cymer Center for Control Systems & Dynamics, from the Leidos corporation in support of this work. Also, the research was supported by the Jet Propulsion Laboratory, California Institute of Technology, under a contract with the National Aeronautics and Space Administration.
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Alimo, R., Beyhaghi, P. & Bewley, T.R. Delaunay-based derivative-free optimization via global surrogates. Part III: nonconvex constraints. J Glob Optim 77, 743–776 (2020). https://doi.org/10.1007/s10898-019-00854-2
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DOI: https://doi.org/10.1007/s10898-019-00854-2