Improved scatter search for the global optimization of computationally expensive dynamic models

Authors:
Jose A. Egea;Emmanuel Vazquez;Julio R. Banga;Rafael Martí
Affiliations:
Instituto de Investigaciones Marinas (C.S.I.C.), Process Engineering Group, Vigo, Spain 36208;Department of Signal and Electronic Systems, Supélec, Plateau de Moulon, Gif sur Yvette, France 91192;Instituto de Investigaciones Marinas (C.S.I.C.), Process Engineering Group, Vigo, Spain 36208;Departamento de Estadística e Investigación Operativa, Universitat de València, Burjassot (Valencia), Spain 46100
Venue:
Journal of Global Optimization
Year:
2009

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Abstract

A new algorithm for global optimization of costly nonlinear continuous problems is presented in this paper. The algorithm is based on the scatter search metaheuristic, which has recently proved to be efficient for solving combinatorial and nonlinear optimization problems. A kriging-based prediction method has been coupled to the main optimization routine in order to discard the evaluation of solutions that are not likely to provide high quality function values. This makes the algorithm suitable for the optimization of computationally costly problems, as is illustrated in its application to two benchmark problems and its comparison with other algorithms.