Abstract #300067

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JSM 2002 Abstract #300067
Activity Number: 242
Type: Topic Contributed
Date/Time: Tuesday, August 13, 2002 : 2:00 PM to 3:50 PM
Sponsor: Section on Physical & Engineering Sciences*
Abstract - #300067
Title: Model-Assisted Pattern Search Methods for Optimizing Expensive Computer Simulations
Author(s): Christopher Siefert*+ and Virginia Torczon and Michael Trosset
Affiliation(s): University of Illinois and College of William & Mary and College of William & Mary
Address: 1304 W. Springfield Ave., Urbana, Illinois, 61801-2987,
Keywords: direct search ; global optimization ; kriging
Abstract:

The design and analysis of computer experiments (DACE) usually envisions performing a single experiment, then replacing the expensive simulation with an approximation. When the simulation is a nonlinear function to be optimized, DACE may be inefficient, and sequential strategies that synthesize ideas from DACE and numerical optimization may be warranted. We consider several such strategies within a unified framework in which sequential approximations constructed by kriging are used to accelerate a conventional direct search method. Computational experiments reveal that hybrid strategies outperform both DACE and traditional pattern search.

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Revised March 2002