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Stop. Global Search Via SPSA. Yes. Optimal Solution found for Original model?. Surrogate Model. Filtering Data. Local Search Via NKIP. Multi-Start. A Hybrid Optimization Approach for Automated Parameter Estimation Problems. Carlos A. Quintero 1

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Stop

Global Search

Via SPSA

Yes

Optimal Solution found for

Original model?

Surrogate Model

Filtering Data

Local Search

Via NKIP

Multi-Start

A Hybrid Optimization Approach

for Automated Parameter Estimation Problems

Carlos A. Quintero1

Miguel Argáez1, Hector Klie2, Leticia Velázquez1 and Mary Wheeler2

2 ICES-The Center for Subsurface Modeling

The University of Texas at Austin

1Department of Mathematical Sciences

The University of Texas at El Paso

Local Search: NKIP

  • We consider the optimization problem in the form:

Test Case

Abstract

  • We test the algorithm on the Rastrigin’s Problems [Ref 6]:

  • where a and b are determined by the sampled points given by SPSA.

  • NKIP is a globalized and derivative dependent optimization method. This method calculates the directions using the conjugate gradient algorithm, and a linesearch is implemented to guarantee a sufficient decrease of the objective function as described in Argáez and Tapia [Ref.4]. This algorithm has been developed for obtaining an optimal solution for large scale and degenerate problems.

  • NKIP algorithm apply to the surrogate model find an optimal solution at x*=(1.94, 0.01) and fs(x*)= 6.26.

  • We present a hybrid optimization approach for solving automated parameter estimation problems that is based on the coupling of the Simultaneous Perturbation Stochastic Approximation (SPSA)[Ref.1] and a globalized Newton-Krylov Interior Point algorithm (NKIP) presented by Argáez et al.[Refs.2,3]. The procedure generates a surrogate model that yield to use efficiently first order information and applies NKIP algorithm to find an optimal solution. We implement the hybrid optimization algorithm on a simple test case, and present some preliminary numerical results.

  • 3-D view, n=2

  • Sampling Data from SPSA

Future Work

Surrogate Model

Further research and numerical experimentation are needed to demonstrate the effectiveness of the hybrid optimization scheme being proposed, especially for solving large application problems of interest of the Department of Defense.

Problem Formulation

  • We find the surrogate model fs(x) using an interpolation method with the data, , provided by SPSA.

  • This can be performed in different ways, e.g., radial basis functions, kriging, regression analysis, or using artificial neural networks.

  • In our test case, we optimize the surrogate function

  • where the multiquadric basis functions are given by

  • The interpolation algorithm [Ref.4] characterizes the uncertainty parameters

  • We plot the original model function and the surrogate function:

  • To add a multi-start on SPSA

  • Filter data from SPSA

  • If x* is such that f(x*) does notsatisfy an upper bound given by

  • then we use x* as an initial point for SPSA.

  • We consider the global optimization problem in the form:

  • Front view

  • where the global solution x* is such that

  • We are interested in problem (1) that have many local minima.

References

  • [1] J. C. Spall. Introduction to stochastic search and optimization: Estimation, simulation and control. John Wiley & Sons, Inc., New Jersey, 2003.

  • [2] M. Argáez, R. Sáenz, and L. Velázquez. A trust–region interior–point algorithm for nonnegative constrained minimization. Technical report, Department of Mathematics, The University of Texas at El Paso, 2004.

  • [3] M. Argáez and R.A. Tapia. On the global convergence of a modified augmented Lagrangian linesearch interior-point Newton method for nonlinear programming. J. Optim. Theory Appl., 114:1–25, 2002.

  • [4]Mark J. L. Orr. Matlab Functions for Radial Basis Function Networks, 1999.

  • [5] H. Klie and W. Bangerth and M. F. Wheeler and M. Parashar and V. Matossian. Parallel well location optimization using stochastic algorithms on the grid computational framework. 9th European Conf. on the Mathematics of Oil Recovery (ECMOR), August, 2004.

  • [6] A.J. Keane and P.B. Nair. Computational Approaches for Aerospace Design: The Pursuit of Excellence. Wiley, England, 2005.

Hybrid Optimization Scheme

  • The scheme is to use SPSA as the sampling device to perform a global search of the parameter space and switch to NKIP to perform the local search via a surrogate model.

  • fs(x)

  • x*=(0,0) global solution

  • f(x*)=0

SPSA data points

Global Search: SPSA

Contact Information

Acknowledgments

Explore

Parameter

space

Carlos A. Quintero, Graduate Student

The University of Texas at El Paso

Department of Mathematical Sciences

500 W. University Avenue

El Paso, Texas 79968-0514

Email: caquintero@utep.edu

Phone: (915) 747-6858

Fax: (915) 747-6502

The authors were partially supported by DOD PET project EQM KY06-03 .

The authors thank IMA for the travel support to attend the Blackwell-Tapia Conference, November 3-4, 2006.

Sampling

No

  • SPSA is a global derivative free optimization method that uses only objective function measurements. In contrast with most algorithms which requires the gradient of the objective function that is often difficult or impossible to obtain. Further, SPSA is especially efficient in high-dimensional problems in terms of providing a good approximate solution for a relatively small number of measurements of the objective function [Ref. 5].

  • The parameter estimation is first carried out by means of SPSA algorithm. This process may be performed by starting with different initial guesses (multistart). This increases the chances for finding a global solution, and yields to find a vast sampling of the parameter space.

  • f(x)

Interpolate

Response surface

Improved Solution

fs (x)

Sensitivity analysis