Proceedings Article10.1109/BIGDATASECURITY-HPSC-IDS.2019.00024
Asynchronous Parallel Surrogate Optimization Algorithm Based on Ensemble Surrogating Model and Stochastic Response Surface Method
Yongze Sun,Zhonghua Lu +1 more
- 27 May 2019
- pp 74-84
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TL;DR: 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.
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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.
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