arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2009.09043cs.LGmath.OCstat.ML
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优化的交叉熵方法变体

Cross-Entropy Method Variants for Optimization

Stanford University(斯坦福大学);Computer Science(计算机科学(此处按要求粒度,若仅提取大学级别则保留Stanford University,原文本中Computer Science可能为系别,故按要求提取到大学级别))

Robert J. Moss

摘要:

交叉熵方法是一种简单有效的随机优化方法。设计用于目标事件发生概率相对较小的稀有事件模拟,CE方法依赖于足够的目标函数调用来准确估计底层分布的最佳参数。某些目标函数的计算代价可能很高,CE方法可能会陷入局部最小值。这与需要具有足够宽的初始协方差以覆盖感兴趣的设计空间的需求相结合。我们引入CE方法的新变体来解决这些问题。为了减少昂贵的函数调用,在优化过程中,我们使用每个样本来构建一个代理模型来近似目标函数。该代理模型增加了目标函数的置信度,并降低了评估成本。我们使用高斯过程为我们的代理模型,将不确定性的预测,这是特别有用的,当处理稀疏数据。为了解决局部最小收敛问题,我们使用高斯混合模型来鼓励对设计空间的探索。我们实验评估调度技术重新分配真正的目标函数调用在优化的早期,当协方差是最大的。为了测试我们的方法,我们创建了一个参数化的测试目标函数,其中包含许多局部最小值和一个全局最小值。我们的测试函数可以调整,以控制最小值的传播和区分。运行实验以强调交叉熵方法变体,并且结果表明基于代理模型的方法使用相同数量的函数评估来减少局部最小值收敛。

英文摘要:

The cross-entropy (CE) method is a popular stochastic method for optimization due to its simplicity and effectiveness. Designed for rare-event simulations where the probability of a target event occurring is relatively small, the CE-method relies on enough objective function calls to accurately estimate the optimal parameters of the underlying distribution. Certain objective functions may be computationally expensive to evaluate, and the CE-method could potentially get stuck in local minima. This is compounded with the need to have an initial covariance wide enough to cover the design space of interest. We introduce novel variants of the CE-method to address these concerns. To mitigate expensive function calls, during optimization we use every sample to build a surrogate model to approximate the objective function. The surrogate model augments the belief of the objective function with less expensive evaluations. We use a Gaussian process for our surrogate model to incorporate uncertainty in the predictions which is especially helpful when dealing with sparse data. To address local minima convergence, we use Gaussian mixture models to encourage exploration of the design space. We experiment with evaluation scheduling techniques to reallocate true objective function calls earlier in the optimization when the covariance is the largest. To test our approach, we created a parameterized test objective function with many local minima and a single global minimum. Our test function can be adjusted to control the spread and distinction of the minima. Experiments were run to stress the cross-entropy method variants and results indicate that the surrogate model-based approach reduces local minima convergence using the same number of function evaluations.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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