Solving Expensive Optimization Problems in Dynamic Environments With Meta-Learning
H. Q. Zhang, Jinliang Ding, Liang Feng, Kay Chen Tan, Ke Li
Abstract
Dynamic environments pose great challenges for expensive optimization problems, as the objective functions of these problems change over time and thus require remarkable computational resources to track the optimal solutions. Although data-driven evolutionary optimization and Bayesian optimization (BO) approaches have shown promise in solving expensive optimization problems in static environments, the attempts to develop such approaches in dynamic environments remain rarely explored. In this article, we propose a simple yet effective meta-learning-based optimization framework for solving the expensive dynamic optimization problems. This framework is flexible, allowing any off-the-shelf continuously differentiable surrogate model to be used in a plug-in manner, either in data-driven evolutionary optimization or BO approaches. In particular, the framework consists of two unique components: 1) the meta-learning component, in which a gradient-based meta-learning approach is adopted to learn experience (effective model parameters) across different dynamics along the optimization process and 2) the adaptation component, where the learned experience (model parameters) is used as the initial parameters for fast adaptation in the dynamic environment based on few shot samples. By doing so, the optimization process is able to quickly initiate the search in a new environment within a strictly restricted computational budget. Experiments demonstrate the effectiveness of the proposed algorithm framework compared to several state-of-the-art algorithms on common benchmark test problems under different dynamic characteristics.