DOI QR코드

DOI QR Code

Using Support Vector Regression for Optimization of Black-box Objective Functions

서포트 벡터 회귀를 이용한 블랙-박스 함수의 최적화

  • Kwak, Min-Jung (Department of Computer Science & Statistics, Pyongtaek University) ;
  • Yoon, Min (Department of Applied Statistics, Konkuk University)
  • 곽민정 (평택대학교 전산통계학과) ;
  • 윤민 (건국대학교 응용통계학과)
  • Published : 2008.01.31

Abstract

In many practical engineering design problems, the form of objective functions is not given explicitly in terms of design variables. Given the value of design variables, under this circumstance, the value of objective functions is obtained by real/computational experiments such as structural analysis, fluid mechanic analysis, thermodynamic analysis, and so on. These experiments are, in general, considerably expensive. In order to make the number of these experiments as few as possible, optimization is performed in parallel with predicting the form of objective functions. Response Surface Methods (RSM) are well known along this approach. This paper suggests to apply Support Vector Machines (SVM) for predicting the objective functions. One of most important tasks in this approach is to allocate sample data moderately in order to make the number of experiments as small as possible. It will be shown that the information of support vector can be used effectively to this aim. The effectiveness of our suggested method will be shown through numerical example which is well known in design of engineering.

많은 실제적인 공학 설계문제에 있어서, 목적함수의 형태는 설계변수들에 의하여 정확하게 주어지지 않는다. 이러한 환경 하에서, 구조해석, 유체 역학 해석, 열역학 분석과 같은 등과 같은 문제에서 설계변수들의 값이 주어졌을 때 목적함수들의 값은 실제 실험이나 계산상의 실험을 통하여 얻어지게 된다. 일반적으로, 이러한 실험들은 많은 비용이 든다. 이런 경우에는 실험의 횟수를 가능한 적게 하기위하여, 목적함수의 형태를 예측하는 것과 병행하여 최적화를 수행하게 된다. 반응표면분석(Response Surface Methodology, RSM)은 이러한 접근 방법에서 잘 알려져 있다. 본 논문에서는 목적함수의 예측을 위하여 서포트 벡터 기계(Support Vector Machines, SVM)의 방법을 적용할 것이다. 이러한 접근에서 가장 중요한 과제들 중의 하나는 가능한 실험의 횟수를 적게 하기 위하여 적절하게 표본자료들을 배치하는 것이다. 이러한 목적에 서포트 벡터의 정보들이 효과적으로 사용되어짐을 보이고 제안한 방법의 효율성은 공학 설계문제에서 잘 알려진 수치 예제를 통하여 보인다.

Keywords

References

  1. Cristianini, N. and Shawe-Taylor, J. (2000). An Introduction to Support Vector Machines and Other Kernel-based Learning Methods. Cambridge University Press
  2. Eshelman, L. J. and Schaffer, J. D. (1993). Real-coded genetic algorithms and interval-schemata. In Foundations of Genetic Algorithms 2 (Whitely, L. D., ed.), Morgan Kaufman
  3. Haykin, S. (1999). Neural Networks: A Comprehensive Foundation. 2nd ed., Prentice Hall
  4. Hsu, Y. H., Sun, T. L. and Leu, L. H. (2000) A two-stage sequential approxi-mation method for nonlinear discrete variable optimization, ASME Design Engineering Technical Conference, Boston, 197-202
  5. Jones, D. R., Schonlau, M. and Welch, W. J. (1998). Efficient global opti-mization of expensive black-box functions. Journal of Global Optimization, 13, 455-492 https://doi.org/10.1023/A:1008306431147
  6. Kannan, B. K. and Kramer, S. N. (1994). An augmented lagrange multiplier based method for mixed integer discrete continuous optimization and its applications to mechanical design. Journal of Mechanical Design, 116, 405-411 https://doi.org/10.1115/1.2919393
  7. Myers, R. H. and Montgomery, D. C. (1995). Response Surface Methodology: Process and Product Optimization using Designed Experiments. John Wiley & Sons, New York
  8. Nakayama, H., Arakawa, M. and Sasaki, K. (2002). Simulation based optimiza-tion for unknown objective functions. Optimization and Engineering, 3, 201-214 https://doi.org/10.1023/A:1020971504868
  9. Radcliffe, N. J. (1991). Forma analysis and random respectful recombination. In Proceedings of the Forth International Conference on Genetic Algorithms, 222-229
  10. Sacks, J., Welch, W. J., Mitchell, T. J. and Wynn, H. P. (1989). Design and analysis of computer experiments. Statistical Science, 4, 409-435 https://doi.org/10.1214/ss/1177012413
  11. Schonlau, M. (1997). Computer Experiments and Global Optimization. PhD. thesis, University of Waterloo, Ontario, Canada
  12. Scholkopf, B. and Smola, A. J. (2002), Learning with Kernels: Support Vector Machines, Regularization, Optimization, and Beyond. The MIT Press
  13. Zabinsky, Z. B. (1998). Stochastic methods for practical global optimization. Journal of Global Optimization, 13, 433-444 https://doi.org/10.1023/A:1008350230239
  14. Zhang, C. and Wang, H. P. (1993). Mixed-Discrete nonlinear optimization with simulated annealing. Engineering Optimization, 21, 277-291 https://doi.org/10.1080/03052159308940980