用信任域+惩罚机制,高效找到高维约束优化的可行解。
Trust Region Constrained Bayesian Optimization with Penalized Constraint Handling
- 引入惩罚项将约束问题转为无约束,统一建模框架。
- 在当前最优解附近设置信任域,减少无效评估。
- 适合高维、评估成本高的真实场景,如工程设计优化。
高维黑箱约束优化因评估成本高、缺乏梯度信息及复杂可行区域而困难。本文提出一种结合惩罚法、代理模型与信任域策略的贝叶斯优化方法。通过惩罚约束违反将原问题转化为无约束形式,构建统一建模框架;采用信任域限制搜索范围于当前最优解附近,提升高维下的稳定性和效率。在此区域内,利用期望改进获取函数平衡改进潜力与不确定性以选择评估点。所提方法融合惩罚约束处理与局部代理建模,在保证样本效率的同时高效探索可行区域。在合成数据与真实世界高维约束优化问题上的实验表明,该方法以更少评估次数找到高质量可行解,并在不同设置下保持稳定性能。
原文摘要 · Abstract (English)
Constrained optimization in high-dimensional black-box settings is difficult due to expensive evaluations, the lack of gradient information, and complex feasibility regions. In this work, we propose a Bayesian optimization method that combines a penalty formulation, a surrogate model, and a trust region strategy. The constrained problem is converted to an unconstrained form by penalizing constraint violations, which provides a unified modeling framework. A trust region restricts the search to a local region around the current best solution, which improves stability and efficiency in high dimensions. Within this region, we use the Expected Improvement acquisition function to select evaluation points by balancing improvement and uncertainty. The proposed Trust Region method integrates penalty-based constraint handling with local surrogate modeling. This combination enables efficient exploration of feasible regions while maintaining sample efficiency. We compare the proposed method with state-of-the-art methods on synthetic and real-world high-dimensional constrained optimization problems. The results show that the method identifies high-quality feasible solutions with fewer evaluations and maintains stable performance across different settings.
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