Multi-surrogate Assisted Efficient Global Optimization for Discrete Problems

Qi Huang, Roy de Winter, Bas van Stein, Thomas Bäck, Anna V. Kononova

Abstract: Decades of progress in simulation-based surrogate assisted optimization and unprecedented growth in computational power have enabled researchers and practitioners to optimize previously intractable complex engineering problems. This paper investigates the possible benefit of a concurrent utilization of multiple simulation-based surrogate models to solve complex discrete optimization problems. To fulfill this, the so-called Self-Adaptive Multi-surrogate Assisted Efficient Global Optimization algorithm (SAMA-DiEGO), which features a two-stage online model management strategy, is proposed and further benchmarked on fifteen binary-encoded combinatorial and fifteen ordinal problems against several state-of-the-art non-surrogate or single surrogate assisted optimization algorithms. Our findings indicate that SAMA-DiEGO can rapidly converge to better solutions on a majority of the test problems which shows the feasibility and advantage of using multiple surrogate models in optimizing discrete problems.