Automatic Generation of Algorithms for Black-Box Robust Optimisation Problems

Abstract

We develop algorithms capable of tackling robust black-box optimisation problems, where the number of model runs is limited. When a desired solution cannot be implemented exactly the aim is to find a robust one, where the worst case in an uncertainty neighbourhood around a solution still performs well. This requires a local maximisation within a global minimisation. To investigate improved optimisation methods for robust problems, and remove the need to manually determine an effective heuristic and parameter settings, we employ an automatic generation of algorithms approach: Grammar-Guided Genetic Programming. We develop algorithmic building blocks to be implemented in a Particle Swarm Optimisation framework, define the rules for constructing heuristics from these components, and evolve populations of search algorithms. Our algorithmic building blocks combine elements of existing techniques and new features, resulting in the investigation of a novel heuristic solution space. As a result of this evolutionary process we obtain algorithms which improve upon the current state of the art. We also analyse the component level breakdowns of the populations of algorithms developed against their performance, to identify high-performing heuristic components for robust problems.