Visible to the public Asynchronous Parallel Surrogate Optimization Algorithm Based on Ensemble Surrogating Model and Stochastic Response Surface Method

TitleAsynchronous Parallel Surrogate Optimization Algorithm Based on Ensemble Surrogating Model and Stochastic Response Surface Method
Publication TypeConference Paper
Year of Publication2019
AuthorsSun, Y., Wang, J., Lu, Z.
KeywordsAdaptation models, approximation theory, asynchronous parallel surrogate optimization algorithm, asynchronous parameter optimization, black-box function optimization, Computational modeling, ensemble model, ensemble surrogating model, inference mechanisms, Load modeling, model integration mode, optimisation, Optimization, parallel algorithms, parallel computing, parallel computing framework, parallel computing resources, parallel computing technology, parallel optimization algorithm, parallel parameter space sampling mechanism, parallel sampling mechanism, Predictive models, pubcrawl, Quantitative Trading, resilience, Resiliency, response surface methodology, Scalability, Stochastic Computing Security, Stochastic processes, stochastic response surface method, surrogate model-based optimization algorithm, uncertainty handling
Abstract{Surrogate model-based optimization algorithm remains as an important solution to expensive black-box function optimization. The introduction of ensemble model enables the algorithm to automatically choose a proper model integration mode and adapt to various parameter spaces when dealing with different problems. However, this also significantly increases the computational burden of the algorithm. On the other hand, utilizing parallel computing resources and improving efficiency of black-box function optimization also require combination with surrogate optimization algorithm in order to design and realize an efficient parallel parameter space sampling mechanism. This paper makes use of parallel computing technology to speed up the weight updating related computation for the ensemble model based on Dempster-Shafer theory, and combines it with stochastic response surface method to develop a novel parallel sampling mechanism for asynchronous parameter optimization. Furthermore, it designs and implements corresponding parallel computing framework and applies the developed algorithm to quantitative trading strategy tuning in financial market. It is verified that the algorithm is both feasible and effective in actual application. The experiment demonstrates that with guarantee of optimizing performance, the parallel optimization algorithm can achieve excellent accelerating effect.
Citation Keysun_asynchronous_2019