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Self-adaptive lower confidence bound: A new general and effective prescreening method for Gaussian Process surrogate model assisted evolutionary algorithms | IEEE Conference Publication | IEEE Xplore

Self-adaptive lower confidence bound: A new general and effective prescreening method for Gaussian Process surrogate model assisted evolutionary algorithms


Abstract:

Surrogate model assisted evolutionary algorithms are receiving much attention for the solution of optimization problems with computationally expensive function evaluation...Show More

Abstract:

Surrogate model assisted evolutionary algorithms are receiving much attention for the solution of optimization problems with computationally expensive function evaluations. For small scale problems, the use of a Gaussian Process surrogate model and prescreening methods has proven to be effective. However, each commonly used prescreening method is only suitable for some types of problems, and the proper prescreening method for an unknown problem cannot be stated beforehand. In this paper, the four existing prescreening methods are analyzed and a new method, called self-adaptive lower confidence bound (ALCB), is proposed. The extent of rewarding the prediction uncertainty is adjusted on line based on the density of samples in a local area and the function properties. The exploration and exploitation ability of prescreening can thus be better balanced. Experimental results on benchmark problems show that ALCB has two main advantages: (1) it is more general for different problem landscapes than any of the four existing prescreening methods; (2) it typically can achieve the best result among all available prescreening methods.
Date of Conference: 10-15 June 2012
Date Added to IEEE Xplore: 02 August 2012
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Conference Location: Brisbane, QLD, Australia

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