Expected improvement of constraint violation for expensive constrained optimization

For computationally expensive constrained optimization problems, one crucial issue is that the existing expected improvement (EI) criteria are no longer applicable when a feasible point is not initially provided. To address this challenge, this paper uses the expected improvement of constraint violation to reach feasible region. A new constrained expected improvement criterion is proposed to select sample solutions for the update of Gaussian process (GP) surrogate models. The validity of the proposed constrained expected improvement criterion is proved theoretically. It is also verified by experimental studies and results show that it performs better than or competitive to compared criteria.

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