Black-box mixed-variable optimisation using a surrogate model that satisfies integer constraints

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Abstract

A challenging problem in both engineering and computer science is that of minimising a function for which we have no mathematical formulation available, that is expensive to evaluate, and that contains continuous and integer variables, for example in automatic algorithm configuration. Surrogate-based algorithms are very suitable for this type of problem, but most existing techniques are designed with only continuous or only discrete variables in mind. Mixed-Variable ReLU-based Surrogate Modelling (MVRSM) is a surrogate-based algorithm that uses a linear combination of rectified linear units, defined in such a way that (local) optima satisfy the integer constraints. Unlike other methods, it also has a constant run-time per iteration. This method outperforms the state of the art on several synthetic benchmarks with up to 238 continuous and integer variables, and achieves competitive performance on two real-life benchmarks: XG-Boost hyperparameter tuning and Electrostatic Precipitator optimisation.

Original languageEnglish
Title of host publicationGECCO 2021 Companion - Proceedings of the 2021 Genetic and Evolutionary Computation Conference Companion
PublisherAssociation for Computing Machinery (ACM)
Pages1851-1859
Number of pages9
ISBN (Electronic)9781450383516
DOIs
Publication statusPublished - 2021
Event2021 Genetic and Evolutionary Computation Conference, GECCO 2021 - Virtual, Online, France
Duration: 10 Jul 202114 Jul 2021

Publication series

NameGECCO 2021 Companion - Proceedings of the 2021 Genetic and Evolutionary Computation Conference Companion

Conference

Conference2021 Genetic and Evolutionary Computation Conference, GECCO 2021
CountryFrance
CityVirtual, Online
Period10/07/2114/07/21

Keywords

  • Bayesian optimisation
  • expensive optimisation
  • mixed-variable optimisation
  • surrogate models

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