A Pointwise-Optimal Ensemble of Surrogate Models

Abstract

The ensemble of surrogate models is commonly used to replace computationally expensive simulations due to their superior prediction accuracy and robustness compared to individual models. This paper proposes a new pointwise ensemble of surrogate models, namely, a pointwise-optimal ensemble of surrogate models (POEMs). To address the limitations of the cross-validation (CV) error in evaluating the performance of regression surrogate models, this paper introduces the compensated cross-validation error, which is more reliable in selecting better individual surrogate models and improving the accuracy of surrogate model ensembles. To overcome the limitations of CV error in calculating pointwise weight factors, this paper designs and solves an optimization problem at training points to obtain corresponding pointwise weight factors. Additionally, this paper proposes two weight calculation methods to be applied in the interpolation and extrapolation regions, respectively, to reduce the instability of ensembles caused by extrapolation. Thirty test functions are employed to investigate the appropriate hyperparameters of POEM and the Friedman test is used to verify the rationality of the α value. The thirty test functions are also used to examine the performance of POEM and compare it with state-of-the-art ensemble surrogate models. Furthermore, POEM is applied to a large-aperture mirror holder optimization case to verify its superiority. The results demonstrate that POEM presents better accuracy and robustness than individual surrogates and other compared ensembles of surrogate models.