Dakota Reference Manual
Version 6.4
LargeScale Engineering Optimization and Uncertainty Analysis

Global Surrogate Based Optimization, a.k.a. EGO
This keyword is related to the topics:
Alias: none
Argument(s): none
Required/Optional  Description of Group  Dakota Keyword  Dakota Keyword Description  

Optional  initial_samples  Initial number of samples for samplingbased methods  
Optional  seed  Seed of the random number generator  
Optional  max_iterations  Stopping criterion based on number of iterations  
Optional  gaussian_process  Gaussian Process surrogate model  
Optional  use_derivatives  Use derivative data to construct surrogate models  
Optional  import_build_points_file  File containing points you wish to use to build a surrogate  
Optional  export_approx_points_file  Output file for evaluations of a surrogate model  
Optional  model_pointer  Identifier for model block to be used by a method 
The Efficient Global Optimization (EGO) method was first developed by Jones, Schonlau, and Welch[53]. In EGO, a stochastic response surface approximation for the objective function is developed based on some sample points from the "true" simulation.
Note that several major differences exist between our implementation and that of[53]. First, rather than using a branch and bound method to find the point which maximizes the EIF, we use the DIRECT global optimization method.
Second, we support both global optimization and global nonlinear least squares as well as general nonlinear constraints through abstraction and subproblem recasting.
The efficient global method is in prototype form. Currently, we do not expose any specification controls for the underlying Gaussian process model used or for the optimization of the expected improvement function (which is currently performed by the NCSU DIRECT algorithm using its internal defaults).
By default, EGO uses the Surfpack GP (Kriging) model, but the Dakota implementation may be selected instead. If use_derivatives
is specified the GP model will be built using available derivative data (Surfpack GP only).
The particular response surface used is a Gaussian process (GP). The GP allows one to calculate the prediction at a new input location as well as the uncertainty associated with that prediction. The key idea in EGO is to maximize the Expected Improvement Function (EIF). The EIF is used to select the location at which a new training point should be added to the Gaussian process model by maximizing the amount of improvement in the objective function that can be expected by adding that point. A point could be expected to produce an improvement in the objective function if its predicted value is better than the current best solution, or if the uncertainty in its prediction is such that the probability of it producing a better solution is high. Because the uncertainty is higher in regions of the design space with few observations, this provides a balance between exploiting areas of the design space that predict good solutions, and exploring areas where more information is needed. EGO trades off this "exploitation vs. exploration." The general procedure for these EGOtype methods is:
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