Automatic surrogate modelling technique selection based on features of optimization problems
Bhupinder Singh Saini, Manuel López‐Ibáñez, Kaisa Miettinen · Proceedings of the Genetic and Evolutionary Computation Conference Companion · 2019
A typical scenario when solving industrial single or multiobjective optimization problems is that no explicit formulation of the problem is available. Instead, a dataset containing vectors of decision variables together with their objective function value(s) is given and a surrogate model (or metamodel) is build from the data and used for optimization and decision-making. This data-driven optimization process strongly depends on the ability of the surrogate model to predict the objective value of decision variables not present in the original dataset. Therefore, the choice of surrogate modelling technique is crucial. While many surrogate modelling techniques have been discussed in the literature, there is no standard procedure that will select the best technique for a given problem.