A Data-Driven Evolutionary Transfer Optimization for Expensive Problems in Dynamic Environments
Ke Li, Renzhi Chen, Xin Yao
Abstract
Many real-world problems are computationally costly and the objective functions evolve over time. Data-driven, a.k.a. surrogate-assisted, evolutionary optimization has been recognized as an effective approach to tackle expensive black-box optimization problems in a static environment whereas it has rarely been studied under dynamic environments. This paper proposes a simple yet effective transfer learning framework to empower data-driven evolutionary optimization to solve expensive dynamic optimization problems. Specifically, a hierarchical multi-output Gaussian process is proposed to capture the correlation among data collected from different time steps with a linearly increased number of hyperparameters. Furthermore, an adaptive source task selection along with a bespoke warm staring initialization mechanisms are proposed to better leverage the knowledge extracted from previous optimization processes. By doing so, the data-driven evolutionary optimization can jump start the optimization in the new environment with a very limited computational budget. Experiments on synthetic benchmark test problems and a real-world case study demonstrate the effectiveness of our proposed algorithm in comparison with nine state-of-the-art peer algorithms.