An Application of Surrogate and Resampling for the Optimization of Success Probability from Binary-Response Type Simulation

Abstract

Since traditional derivative-based optimization for noisy simulation shows bad performance, evolutionary algorithms are considered as substitutes. Especially in case when outputs are binary, more simulation trials are needed to get near-optimal solution since the outputs are discrete and have high and heterogeneous variance. In this paper, we propose a genetic algorithm called SARAGA which adopts dynamic resampling and fitness approximation using surrogate. SARAGA reduces unnecessary numbers of expensive simulations to estimate success probabilities estimated from binary simulation outputs. SARAGA allocates number of samples to each solution dynamically and sometimes approximates the fitness without additional expensive experiments. Experimental results show that this novel approach is effective and proper hyper parameter choice of surrogate and resampling can improve the performance of algorithm.