Surrogate-based methods for black-box optimization

Ky Khac Vu (1, 2) , Claudia d'Ambrosio (2) , Youssef Hamadi (3, 2) , Leo Liberti (2)

1 FPT University
2 LIX - Laboratoire d'informatique de l'École polytechnique [Palaiseau]
3 Microsoft - Microsoft Research [Cambridge]

In this paper, we survey methods that are currently used in black-box optimization, i.e. the kind of problems whose objective functions are very expensive to evaluate and no analytical or derivative information are available. We concentrate on a particular family of methods, in which surrogate (or meta) models are iteratively constructed and used to search for global solutions.

Domaines: Recherche opérationnelle [math.OC]

Ky Khac Vu, Claudia d'Ambrosio, Youssef Hamadi, Leo Liberti. Surrogate-based methods for black-box optimization. International Transactions in Operational Research, 2017, 24 (3), pp.393-424. ⟨10.1111/itor.12292⟩. ⟨hal-02105302⟩