Surrogate optimization of computationally expensive black-box problems with hidden constraints

We introduce the algorithm SHEBO (surrogate optimization of problems with hidden constraints and expensive black-box objectives), an efficient optimization algorithm that employs surrogate models to solve computationally expensive black-box simulation optimization problems that have hidden constraints. Hidden constraints are encountered when the objective function evaluation does not return a value for a parameter vector. These constraints are often encountered in optimization problems in which the objective function is computed by a black-box simulation code. SHEBO uses a combination of local and global search strategies together with an evaluability prediction function and a dynamically adjusted evaluability threshold to iteratively select new sample points. We compare the performance of our algorithm with that of the mesh-based algorithms mesh adaptive direct search (MADS, NOMAD [nonlinear optimization by mesh adaptive direct search] implementation) and implicit filtering and SNOBFIT (stable noisy optimization by branch and fit), which assigns artificial function values to points that violate the hidden constraints. Our numerical experiments for a large set of test problems with 2–30 dimensions and a 31-dimensional real-world application problem arising in combustion simulation show that SHEBO is an efficient solver that outperforms the other methods for many test problems. Copyright: This article was written and prepared by U.S. government employee(s) on official time and is therefore in the public domain.