Stochastic radial basis function algorithms for large-scale optimization involving expensive black-box objective and constraint functions

This paper presents a new algorithm for derivative-free optimization of expensive black-box objective functions subject to expensive black-box inequality constraints. The proposed algorithm, called ConstrLMSRBF, uses radial basis function (RBF) surrogate models and is an extension of the Local Metric Stochastic RBF (LMSRBF) algorithm by Regis and Shoemaker (2007a) [1] that can handle black-box inequality constraints. Previous algorithms for the optimization of expensive functions using surrogate models have mostly dealt with bound constrained problems where only the objective function is expensive, and so, the surrogate models are used to approximate the objective function only. In contrast, ConstrLMSRBF builds RBF surrogate models for the objective function and also for all the constraint functions in each iteration, and uses these RBF models to guide the selection of the next point where the objective and constraint functions will be evaluated. Computational results indicate that ConstrLMSRBF is better than alternative methods on 9 out of 14 test problems and on the MOPTA08 problem from the automotive industry (Jones, 2008 [2]). The MOPTA08 problem has 124 decision variables and 68 inequality constraints and is considered a large-scale problem in the area of expensive black-box optimization. The alternative methods include a Mesh Adaptive Direct Search (MADS) algorithm (Abramson and Audet, 2006 [3]; Audet and Dennis, 2006 [4]) that uses a kriging-based surrogate model, the Multistart LMSRBF algorithm by Regis and Shoemaker (2007a) [1] modified to handle black-box constraints via a penalty approach, a genetic algorithm, a pattern search algorithm, a sequential quadratic programming algorithm, and COBYLA (Powell, 1994 [5]), which is a derivative-free trust-region algorithm. Based on the results of this study, the results in Jones (2008) [2] and other approaches presented at the ISMP 2009 conference, ConstrLMSRBF appears to be among the best, if not the best, known algorithm for the MOPTA08 problem in the sense of providing the most improvement from an initial feasible solution within a very limited number of objective and constraint function evaluations.