An adaptive strategy on the error of the objective functions for uncertainty-based derivative-free optimization

Abstract : In this work, a strategy is developed to deal with the error affecting the objective functions in uncertainty-based optimization. We refer to the problems where the objective functions are the statistics of a quantity of interest computed by an uncertainty quantification technique that propagates some uncertainties of the input variables through the system under consideration. In real problems, the statistics are computed by a numerical method and therefore they are affected by a certain level of error, depending on the chosen accuracy. The errors on the objective function can be interpreted with the abstraction of a bounding box around the nominal estimation in the objective functions space. In addition, in some cases the uncertainty quantification methods providing the objective functions also supply the possibility of adaptive refinement to reduce the error bounding box. The novel method relies on the exchange of information between the outer loop based on the optimization algorithm and the inner uncertainty quantification loop. In particular, in the inner uncertainty quantification loop, a control is performed to decide whether a refinement of the bounding box for the current design is appropriate or not. In single-objective problems, the current bounding box is compared to the current optimal design. In multi-objective problems, the decision is based on the comparison of the error bounding box of the current design and the current Pareto front. With this strategy, fewer computations are made for clearly dominated solutions and an accurate estimate of the objective function is provided for the interesting, non-dominated solutions. The results presented in this work prove that the proposed method improves the efficiency of the global loop, while preserving the accuracy of the final Pareto front.
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Journal of Computational Physics, Elsevier, 2016, 309, pp.241-266. 〈10.1016/j.jcp.2016.01.004〉
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Francesca Fusi, Pietro Marco Congedo. An adaptive strategy on the error of the objective functions for uncertainty-based derivative-free optimization. Journal of Computational Physics, Elsevier, 2016, 309, pp.241-266. 〈10.1016/j.jcp.2016.01.004〉. 〈hal-01251604〉

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