Global optimization of expensive black box problems with a known lower bound

  • Authors:

  • Andrea Cassioli;Fabio Schoen

  • Affiliations:

  • Dipartimento di Sistemi e Informatica, Università degli Studi di Firenze, Firenze, Italy 50139;Dipartimento di Sistemi e Informatica, Università degli Studi di Firenze, Firenze, Italy 50139

  • Venue:
  • Journal of Global Optimization
  • Year:
  • 2013

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Abstract

In this paper we propose an algorithm for the global optimization of computationally expensive black---box functions. For this class of problems, no information, like e.g. the gradient, can be obtained and function evaluation is highly expensive. In many applications, however, a lower bound on the objective function is known; in this situation we derive a modified version of the algorithm introduced in Gutmann (J Glob Optim 19:201---227, 2001). Using this information produces a significant improvement in the quality of the resulting method, with only a small increase in the computational cost. Extensive computational results are provided which support this statement.