Deterministic global optimization with Gaussian processes embedded

Gaussian processes (Kriging) are interpolating data-driven models that are frequently applied in various disciplines. Often, Gaussian processes are trained on datasets and are subsequently embedded as surrogate models in optimization problems. These optimization problems are nonconvex and global opt...

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Bibliographic Details
Published in:	Mathematical programming computation 2021-09, Vol.13 (3), p.553-581
Main Authors:	Schweidtmann, Artur M., Bongartz, Dominik, Grothe, Daniel, Kerkenhoff, Tim, Lin, Xiaopeng, Najman, Jaromił, Mitsos, Alexander
Format:	Article
Language:	eng
Subjects:	Bayesian analysis Computing time Data points Full Length Paper Gaussian process Global optimization Mathematics Mathematics and Statistics Mathematics of Computing Operations Research/Decision Theory Optimization Theory of Computation
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Summary:	Gaussian processes (Kriging) are interpolating data-driven models that are frequently applied in various disciplines. Often, Gaussian processes are trained on datasets and are subsequently embedded as surrogate models in optimization problems. These optimization problems are nonconvex and global optimization is desired. However, previous literature observed computational burdens limiting deterministic global optimization to Gaussian processes trained on few data points. We propose a reduced-space formulation for deterministic global optimization with trained Gaussian processes embedded. For optimization, the branch-and-bound solver branches only on the free variables and McCormick relaxations are propagated through explicit Gaussian process models. The approach also leads to significantly smaller and computationally cheaper subproblems for lower and upper bounding. To further accelerate convergence, we derive envelopes of common covariance functions for GPs and tight relaxations of acquisition functions used in Bayesian optimization including expected improvement, probability of improvement, and lower confidence bound. In total, we reduce computational time by orders of magnitude compared to state-of-the-art methods, thus overcoming previous computational burdens. We demonstrate the performance and scaling of the proposed method and apply it to Bayesian optimization with global optimization of the acquisition function and chance-constrained programming. The Gaussian process models, acquisition functions, and training scripts are available open-source within the “MeLOn— M achin e L earning Models for O ptimizatio n ” toolbox ( https://git.rwth-aachen.de/avt.svt/public/MeLOn ).
ISSN:	1867-2949 1867-2957