| 研究生: |
高慶展 Ching-Chan Kao |
|---|---|
| 論文名稱: |
在回溯線搜索下結合梯度方向的反應曲面法 Direct Gradient Augmented Response Surface Methodology Based on Backtracking Line Search |
| 指導教授: |
葉英傑
Ying-Chieh Yeh |
| 口試委員: | |
| 學位類別: |
碩士 Master |
| 系所名稱: |
管理學院 - 工業管理研究所 Graduate Institute of Industrial Management |
| 論文出版年: | 2020 |
| 畢業學年度: | 108 |
| 語文別: | 中文 |
| 論文頁數: | 50 |
| 中文關鍵詞: | 反應曲面法 、回溯線搜索 、Armijo-Goldstein 條件 、梯度 、元模型 |
| 外文關鍵詞: | Response Surface Methodology, Backtracking line search, Armijo-Goldstein condition, Gradient, Metamodel |
| 相關次數: | 點閱:14 下載:0 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
回溯線搜索(Backtracking line search)是一種基於Armijo–Goldstein的充分下降條件下,在確定搜索方向後,沿著搜索方向移動最大步長的搜索方法。首先從搜索方向開始給定一個最大的估計步長,基於目標函數的局部梯度和函數值,利用插值法不斷的測試步長,直到觀察到目標函數的減小足以與預期的減小相對應為止。
本研究將回溯線搜索結合到帶有梯度方向的反應曲面法(Direct Gradient Augmented Response Surface Methodology, DiGARSM)中,它是一種用於優化隨機函數的一階元模型。這個方法結合了傳統的反應曲面法(Response surface methodology, RSM)所使用到的響應的測量以及梯度的測量(Gradient Response Surface Methodology, GRSM),能夠對搜索方向有更精確的估計。此外,本研究用兩種測試函數進行測試,分別在GRSM與DiGARSM中,比較原始方法中的步長設定和使用回溯線搜索決定步長結果的不同。最後,本文進行了數值模擬,以說明該方法的有效性。
Backtracking line search is a search method to determine the maximum amount to move along a given search direction based on the Armijo condition. It starts with a maximum estimated step size given from the search direction. Based on the local gradient and function value of the objective function, the interpolation method is used to continuously test the step size until the decrease in the objective function is observed to be sufficient to correspond to the expected decrease.
This study integrates Backtracking line search into Direct Gradient Augmented Response Surface Methodology (DiGARSM), a sequential first-order metamodel for optimizing a stochastic function that combines traditional Response Surface Methodology (RSM) and gradient measurements(GRSM). In this approach, gradients of the objective function with respect to the desired parameters are utilized in addition to response measurements. In addition, this study uses two test functions for testing in GRSM and DiGARSM, respectively, to compare the results of using the original step size and determining the step size by Backtracking line search. Overall, we conduct numerical simulations to illustrate the effectiveness of the proposed method.
[1] Andrei, N. “An acceleration of gradient descent algorithm with backtracking for unconstrained optimization”, Numerical Algorithms, 42.1, pp. 63-73, 2006.
[2] Armijo, L. “Minimization of functions having Lipschitz continuous first partial derivatives”, Pac. J. Math, 6, pp. 1-3, 1966.
[3] Barton, Russell R., Martin M. “Metamodel-based simulation optimization”, Handbooks in operations research and management science, 13, pp. 535-574, 2006.
[4] Bartz-Beielstein, T., Preuss, M. “Experimental research in evolutionary computation”, Proceedings of the 9th annual conference companion on Genetic and evolutionary computation, 2007.
[5] Cahya, S., Del Castillo, E., Peterson, J. J. “Computation of confidence regions for optimal factor levels in constrained response surface problems”, Journal of Computational and Graphical Statistics, 13.2, pp. 499-518, 2004.
[6] Carson, Y, Maria, A. “Simulation optimization: methods and applications”, Proceedings of the 29th conference on Winter simulation, 1997.
[7] Chang, K. H., Hong, L. J., Wan, H. “Stochastic trust region gradient-free method (STRONG)-a new response-surface-based algorithm in simulation optimization”, 2007 Winter Simulation Conference, 2007.
[8] Chau, M., et al. “Simulation optimization: a tutorial overview and recent developments in gradient-based methods”, Proceedings of the Winter Simulation Conference 2014. IEEE, 2014.
[9] Chau, M., Qu, H., Fu, M. C. “A New Hybrid Stochastic Approximation Algorithm”, IFAC Proceedings Volumes, 47.2, pp. 241-246, 2014.
[10] Fletcher, R. “Practical Methods of Optimization”, Wiley, 1987.
[11] Fu, M. C. “Optimization via Simulation: A Review”, Annals of Operations Research, 53.1, pp. 199-247, 1994.
[12] Fu, M. C., H. Qu. “Regression Models Augmented with Direct Stochastic Gradient Estimators”, INFORMS Journal on Computing, 26.3, pp. 484–499, 2014.
[13] Ghadimi, S., G. Lan. “Stochastic Approximation Methods and Their Finite-Time Convergence Properties”, Handbook of Simulation Optimization, pp. 179–206, 2015.
[14] Glasserman, P. Gradient Estimation via Perturbation Analysis. Vol. 116. Springer Science & Business Media, 1991.
[15] Goldstein, A. A., On Steepest Descent, SIAM Journal on Control, Vol. 3, pp. 147-151, 1965.
[16] Goldstein, A. A., Constructive Real Analysis, Harpers and Row, New York, New York, 1967.
[17] Goldstein, A. A., Price, J. F. “An effective algorithm for minimization”, Numerische Mathematik, 10.3, pp. 184-189, 1967.
[18] Grippo, L., Lampariello, F., Lucidi, S. “A nonmonotone line search technique for Newton's method”, SIAM Journal on Numerical Analysis, 23.4, pp. 707-716, 1986.
[19] Hedar, A. R. “Global optimization test problems”, 2007.
[20] Hill, W. J., Hunter, W. G. “A review of response surface methodology: a literature survey”, Technometrics, 8.4, pp. 571-590, 1966.
[21] Ho, Y. C., X. Cao. “Perturbation Analysis and Optimization of Queueing Networks”, Journal of Optimization Theory and Applications, 40.4, pp. 559–582, 1983.
[22] Ho, Y. C., Shi, L., Dai, L., Gong, W. B. “Optimizing Discrete Event Dynamic Systems via the Gradient Surface Method”, Discrete Event Dynamic Systems 2.2, pp. 99–120, 1992.
[23] Horng, J. T., Liu, N. M., Chiang, K. T. “Investigating the Machinability Evaluation of Hadfield Steel in the Hard Turning with Al2O3/TiC Mixed Ceramic Cool Based on the Response Surface Methodology”, Journal of Materials Processing Technology, 208.1, pp. 532-541, 2008.
[24] Jamil, M., Yang, X. S. “A Literature Survey of Benchmark Functions for Global Optimization Problems”, arXiv preprint arXiv, 1308.4008, 2013.
[25] Keyzer, F., Kleijnen, J., Mullenders, E., et al. “Optimization of Priority Class Queues, with a Computer Center Case Study”, American Journal of Mathematical and Management Sciences 1.4, pp. 341– 358, 1981.
[26] Kim, W. B., Draper, N. R. “Choosing a Design for Straight Line Fits to Two Correlated Responses”, Statistica Sinica, 4.1, pp. 275-280, 1994.
[27] Kleijnen, J. P. C. “Response Surface Methodology”, Handbook of Simulation Optimization, pp. 81-104, 2015.
[28] Krafft, O., Schaefer, M. 1992. “D-optimal Designs for a Multivariate Regression Model”, Journal of Multivariate Analysis, 42.1, pp. 130-140, 1992.
[29] Law, A. M., Kelton, W. D. 2007. “Simulation Modeling and Analysis”, McGraw-Hill, 2007.
[30] Lemaréchal, C. “A view of line-searches”, Optimization and Optimal Control. pp. 59-78, 1981.
[31] Li, Y. C., Fu, M. C. “Sequential first-order response surface methodology augmented with direct gradients”, 2018 Winter Simulation Conference (WSC). IEEE, 2018.
[32] Mead, R., Pike, D. J. “A Biometrics Invited Paper. A Review of Response Surface Methodology from a Biometric Viewpoint”, Biometrics, 31.4, pp. 803-851, 1975.
[33] Miro-Quesada, G., Castillo, E. D. “An Enhanced Recursive Stopping Rule for Steepest Ascent Searches in Response Surface Methodology”, Communications in Statistics-Simulation and Computation, 33.1, pp. 201-228, 2004.
[34] Moré, J. J., Thuente, D. J. “Line search algorithms with guaranteed sufficient decrease”, ACM Transactions on Mathematical Software (TOMS), 20.3, pp. 286-307, 1994.
[35] Myers, R. H., Khuri, A. I., Carter, W. H. “Response Surface Methodology: 1966-1988”, Technometrics, 31.2, pp. 137-157, 1989.
[36] Nemirovski, A. S., Juditsky, A., Lan, G. et al. “Robust Stochastic Approximation Approach to Stochastic Programming”, SIAM Journal on Optimization 19.4, pp. 1574–1609, 2009.
[37] Nocedal, J., Yuan, Y. “Combining Trust Region and Line Search Techniques”, Advances in Nonlinear Programming, pp. 153-175, 1998.
[38] Nocedal, J., Wright, S. J. Numerical optimization, pp. 36-63, 1999.
[39] Plackett, R. L., Burman, J. P. “The Design of Optimum Multifactorial Experiments”. Biometrika, 3.4, pp. 305-325, 1946.
[40] Potra, F. A., Shi, Y. “Efficient line search algorithm for unconstrained optimization”, Journal of Optimization Theory and Applications, 85.3, pp. 677-704, 1995.
[41] Powell, M. J. D. “Some global convergence properties of a variable-metric algorithm for minimization without exact line searches”, Nonlinear programming 9 ,53, 1976.
[42] Raydan, M. “The Barzilai and Borwein gradient method for the large scale unconstrained minimization problem”, SIAM Journal on Optimization, 7.1, pp. 26-33, 1997.
[43] Schropp, J. “A note on minimization problems and multistep methods”, Numeric Mathematic, 78, pp. 87-101, 1997.
[44] Schropp, J. “One-step and multistep procedures for constrained minimization problems”, IMA Journal of Numerical Analysis, 20, pp. 135-152, 2000.
[45] Shi, Z. J. “Convergence of line search methods for unconstrained optimization”, Applied Mathematics and Computation, 157.2, pp. 393-405, 2004.
[46] Wächter, A., Biegler, L. T. “On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming”, Mathematical programming, 106.1, pp. 25-27, 2006.
[47] Waltz, R. A., Morales, J. L., Nocedal, J., et al. “An interior algorithm for nonlinear optimization that combines line search and trust region steps”, Mathematical Programming, 107.3, pp. 391-408, 2005.
[48] Wolfowitz, J. “On the Stochastic Approximation Method of Robbins and Monro”, The Annals of Mathematical Statistics, 23.3, pp. 457-461, 1952.
[49] Wu, S. M. “Tool-life testing by response surface methodology—Part 1”, pp. 105-110, 1964.
[50] Yuan, G., Wei, Z. “New line search methods for unconstrained optimization”, Journal of the Korean Statistical Society, 38.1, pp. 29-39, 2009.