Surrogate-Based Methods

Objective functions that appear in engineering practice may come from measurements of physical systems and, more often, from computer simulations. In many cases, optimization of such objectives in a straightforward way, i.e., by applying optimization routines directly to these functions, is impractical. One reason is that simulation-based objective functions are often analytically intractable (discontinuous, non-differentiable, and inherently noisy). Also, sensitivity information is usually unavailable, or too expensive to compute. Another, and in many cases even more important, reason is the high computational cost of measurement/simulations. Simulation times of several hours, days or even weeks per objective function evaluation are not uncommon in contemporary engineering, despite the increase of available computing power. Feasible handling of these unmanageable functions can be accomplished using surrogate models: the optimization of the original objective is replaced by iterative re-optimization and updating of the analytically tractable and computationally cheap surrogate. This chapter briefly describes the basics of surrogate-based optimization, various ways of creating surrogate models, as well as several examples of surrogate-based optimization techniques.