Section: Research Program

Machine Learning-assisted Optimization

The Machine Learning (ML) approach based on metamodels (or surrogates) is commonly used, and also adopted in Bonus , to assist optimization in tackling BOPs characterized by time-demanding objective functions. The second line of research of Bonus is focused on ML-aided optimization to raise the challenge of expensive functions of BOPs using surrogates but also to assist the two other research lines (decomposition-based and ultra-scale optimization) in dealing with the other challenges (high dimensionality and scalability).

Several issues have been identified to make efficient and effective surrogate-assisted optimization. First, infill criteria have to be carefully defined to adaptively select the adequate sample points (in terms of surrogate precision and solution quality). The challenge is to find the best trade-off between exploration and exploitation to efficiently refine the surrogate and guide the optimization process toward the best solutions. The most popular infill criterion is probably the Expected Improvement (EI)  [43] which is based on the expected values of sample points but also and importantly on their variance. This latter is inherently determined in the kriging model, this is why it is used in the state-of-the-art efficient global optimization (EGO) algorithm  [43]. However, such crucial information is not provided in all surrogate models (e.g. ANN) and needs to be derived. In Bonus , we are currently investigating this issue. Second, it is known that surrogates allow one to reduce the computational burden for solving BOPs with time-demanding function(s). However, using parallel computing as a complementary way is often recommended and cited as a perspective in the conclusions of related publications. Nevertheless, despite being of critical importance parallel surrogate-assisted optimization is weakly addressed in the literature. For instance, in the introduction of the survey proposed in  [42] it is warned that because the area is not mature yet the paper is more focused on the potential of the surveyed approaches than on their relative efficiency. Parallel computing is required at different levels that we are investigating.

Another issue with surrogate-assisted optimization is related to high dimensionality in decision as well as in objective space: it is often applied to low-dimensional problems. The joint use of decomposition, surrogates and massive parallelism is an efficient approach to deal with high dimensionality. This approach adopted in Bonus has received little effort in the literature. In Bonus , we are considering a generic framework in order to enable a flexible coupling of existing surrogate models within the state-of-the-art decomposition-based algorithm MOEA/D. This is a first step in leveraging the applicability of efficient global optimization into the multi-objective setting through parallel decomposition. Another issue which is a consequence of high dimensionality is the mixed (discrete-continuous) nature of decision variables which is frequent in real-world applications (e.g. engineering design). While surrogate-assisted optimization is widely applied in the continuous setting it is rarely addressed in the literature in the discrete-continuous framework. In [33], we have identified different ways to deal with this issue that we are investigating. Non-stationary functions frequent in real-world applications (see Section 4.1) is another major issue we are addressing using the concept of deep GP.

Finally, as quoted in the beginning of this section, ML-assisted optimization is mainly used to deal with BOPs with expensive functions but it will also be investigated for other optimization tasks. Indeed, ML will be useful to assist the decomposition process. In the decision space, it will help to perform the separability analysis (understanding of the interactions between variables) to decompose the vector of variables. In the objective space, ML will be useful to assist a decomposition-based many-objective algorithm in dynamically selecting a scalarizing function or updating the weighting vectors according to their performances in the previous steps of the optimization process [5]. Such a data-driven ML methodology would allow us to understand what makes a problem difficult or an optimization approach efficient, to predict the algorithm performance [4], to select the most appropriate algorithm configuration [8], and to adapt and improve the algorithm design for unknown optimization domains and instances. Such an autonomous optimization approach would adaptively adjust its internal mechanisms in order to tackle cross-domain BOPs.

In a nutshell, to deal with expensive optimization the Bonus team will investigate the surrogate-based ML approach with the objective to efficiently integrate surrogates in the optimization process. The focus will especially be put on high dimensionality (e.g. using decomposition) with mixed discrete-continuous variables which is rarely investigated. The kriging metamodel (Gaussian Process or GP) will be considered in particular for engineering design (for more reliability) addressing the above issues and other major ones including mainly non stationarity (using emerging deep GP) and ultra-scale parallelization (highly needed by the community). Indeed, a lot of work has been reported on deep neural networks (deep learning) surrogates but not on the others including (Deep) GP. On the other hand, ML will be used to assist decomposition: importance/interaction between variables in the decision space, dynamic building (selection of scalarizing functions, weight update, ...) of scalarizing functions in the objective space, etc.