Evaluation of a Surrogate Based Method for Global Optimization
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چکیده
We evaluate the performance of a numerical method for global optimization of expensive functions. The method is using a response surface to guide the search for the global optimum. This metamodel could be based on radial basis functions, kriging, or a combination of different models. We discuss how to set the cyclic parameters of the optimization method to get a balance between local and global search. We also discuss the eventual problem with Runge oscillations in the response surface. Keywords—Expensive function, infill sampling criterion, kriging, global optimization, response surface, Runge phenomenon.
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