1 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Approximation Methods
Lecture 19
16 April 2004
Karen Willcox
Multidisciplinary SystemMultidisciplinary System
Design Optimization (MSDO)
2 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Today’s Topics
? Design variable linking
? Reduced-Basis Methods
? Response Surface Approximations
? Kriging
? Variable-Fidelity Models
3 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Why Approximation Methods?
We have seen throughout the course the constant trade-off
between computational cost and fidelity.
Level of MSDO
Fidelity Level
trade
studies
limited
optimization/iteration
full MDO
empirical
models
intermediate fidelity
(e.g. vortex lattice,
beam theory)
high fidelity
(e.g. CFD,FEM)
i
n
c
r
e
a
s
i
n
g
d
i
f
f
i
c
u
l
t
y
from Giesing, 1998
can we do
better?
can the
results be
believed?
how to
implement?
Approximation methods provide a way to get high-fidelity
model information throughout the optimization without the
computational expense.
4 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Approximation Methods
? Recall that the analysis or simcode must be invoked
each time the optimizer selects a new design vector to
try
? Typically, hundreds (thousands) of design vectors will
be analyzed throughout an optimization run
? Can use Approximation Models (Surrogate Models)
for objective functions and constraints
? If approximate models are inexpensive to evaluate, can
analyze many more design vector options without
worrying about computational resources
? Concept first introduced in structural optimization by
Barthelemy and Haftka, 1993
5 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Approximation Methods Overview
Design variable linking
Reduced-basis methods
? reduce the number of
design variables in
the optimization code
? simcode analysis full
order
Response surface methods
Kriging
? same number of
design variables
? simcode analysis
simplified
Variable-fidelity methods
? combine high-fidelity and
approximation models
6 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Design Variable Linking
? Not all design variables may be independent
? For example, symmetry may exist in the problem
Define:
C
= +
??
??
?? ? ? ??
??
= +
?? ? ? ??
??
?? ? ? ??
??
??
yTx y
r ×1
n ×1
r ×n r ×1
optimizer uses y, but
provides x to simcode
for analysis
y
T
x y
C
7 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Reduced-Basis Methods
Consider r feasible design vectors: x
1
, x
2
, ..., x
r
We could consider the desired design to be a linear
combination of these basis vectors:
1
*
ι
α
=
= +
∑
r
i C
i
x x x
scalar
coefficient
basis
vector
added for
generality
8 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Reduced-Basis Methods
We can now optimize J(x) by finding the optimal values for
the coefficients α
i
.
dimension n dimension r
? do one full-order evaluation of resulting answer
? approach is efficient if r << n
? will give the true optimum only if x* lies in the span of {x
i
}
? basis vectors could be
– previous designs
– solutions over a particular range (DoE)
– derived in some other way (POD)
9 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Reduced-Basis Example
Example using a reduced-basis approach (van der
Plaats Fig 7-2): airfoil design for a unique application.
? many airfoil shapes with known performance are
available
? design variables are (x,y) coordinates at chordwise
locations (n~100)
? use four basis airfoil shapes (low-speed airfoils) which
contain the n geometry points
? plus two basis shapes which allow trailing edge
thickness to vary
? r=6 (r<<n)
? optimize for high speed, maximum lift with a constraint
on drag
10 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Reduced-Basis Example
11 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Proper Orthogonal Decomposition
1
*
ι
α?
=
=
∑
r
i
i
x
?The r basis vectors ?
i
are orthogonal
? They are computed from M empirical solutions {x
1
, x
2
,... x
M
}
? They are optimal in the sense that they minimize the error
between the original and the projected data
2
2
(, )
max
?
?
?
x
Also known as principal components analysis, Kahunen
Loève decomposition, singular value decomposition
12 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Proper Orthogonal Decomposition
These optimal basis functions can be calculated by:
1. Evaluating the correlation matrix:
2. Solving the M×M eigenvalue problem:
3. Constructing the basis vectors:
Ti j
ij
R = xx
i i i
R λ=v v
1
M
i i
j j
i
v?
=
=
∑
x
Use components of the jth
eigenvector to calculate the jth
POD basis vector. The jth
eigenvalue tells us how
important is the jth basis vector.
Vanderplaats, G. N. Numerical Optimization Techniques for Engineering Design.
Vanderplaats R&D, 1999. Figure 7-2.
Vanderplaats, G. N. Numerical Optimization Techniques for Engineering Design.
Vanderplaats R&D, 1999. Figure 7-3.
13 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Approximation Methods Overview
Design variable linking
Reduced-basis methods
? reduce the number of
design variables in
the optimization code
? simcode analysis full
order
Response surface methods
Kriging
? same number of
design variables
? simcode analysis
simplified
Variable-fidelity methods
? combine high-fidelity and
approximation models
14 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Response Surface Methodology
? Keep the same number of design variables, but simplify the
simcode analysis
? Create approximating functions to objective and constraints
? Optimize using the approximations
? Update approximations using current optimal solution
guess and repeat
? Response surfaces are smooth even if design space is
noisy
? Polynomial-based modeling technique
? Provide compact, explicit functional relationship between
response and design variables
? Least squares is computationally inexpensive and easy to
implement
15 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Local Approximations
Most common are Taylor series expansions:
δ δ δ? ?= + ? + +
? ?
"
0 0
1
( ) () () ()
2
T
T
J J J
0
x x x x x H x x
0
δ =?xxx
? Could use the first two terms ? linear approximation
? Solve, reanalyze and repeat = sequential linear programming
? Could also include quadratic term:
δ δ δ? ?= + ? + +
? ?
"
0 0
1
( ) () () ()
2
T
T
J J J
0
x x x x x H x x
update
requires:
1 function
evaluation
n function
evaluations
n(n+1)/2
function
evaluations
16 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Local Approximations
? It is expensive to update the gradient vector and
Hessian matrix
? One approach:
– perform several approximation cycles updating only
the constant term
– then update the linear term and repeat
– finally, update the Hessian only when no other
progress can be made
? If the design space is highly nonlinear, there is no
guarantee that this approach will work
17 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Response Surface Methodology
? Another approach: use what information is available to
create the approximation
? Use this approximation to make a small move in the
design variables
? Analyze the result precisely ? new function evaluation
? Use the new function evaluation to improve the
approximation to the design space
? Fit a response surface
? Can use a quadratic or higher order surface
? Might choose to use only some of the function evaluations
(e.g. those in a local neighborhood)
18 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
RSM
?= ?
0
. . define ( ) ( )eg J J Jx x
( )
T T
1 2
1 2
2 2 2
11 1 22 2
12 1 2 13 1 3 1 1
23 2 3 1, 1
...
1
...
2
...
...
n
n
nn n
n n
n n n n
J J
J J J
x x x
x x x
H x H x H x
H x x H x x H x x
H x x H x x
δ δ δ
δ δ δ
δ δ δ
δ δ δ δ δ δ
δδ δ δ
? ?
?=? +
? ? ?
= + + +
? ? ?
+ + + +
+ + + +
+ + +
x x H x
quadratic approximation:
(all derivatives and entries of H are evaluated at x
0
)
(?)
19 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
RSM
Assume we have evaluated the baseline plus q designs:
→
0 1 0 1
, ,..., , ,...
q q
JJ Jxx x
We could write q equations of the form (?) using
There is a total of N=n+n(n+1)/2 unknowns:
? ? ?
? ? ?
11 12
1 2
, ,..., , , ,...,
nn
n
J J J
HH H
x x x
( ) ( ) ( )
1 0 1 0 2 0 2 0 0 0
, , , , , ,
q q
J J J J J J? ? ? ? ? ?x x x x x x"
20 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
RSM
? q equations, N unknowns
?If q<N, only some coefficients can be calculated
?If q>N, use weighted least squares
? Weight designs closer to current x
q
more heavily
? In general, use q≥n+1 initial designs so an initial linear
approximation can be provided
? If have baseline plus n designs, can fit a linear
approximation in each direction (i.e. a hyperplane)
? If have more solutions, can fit a quadratic or higher
order surface
21 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
RSM
? In other words, fit objective function with a polynomial
? e.g. quadratic approximation:
? Update model by including a new function evaluation
then doing least squares fit to compute the new
coefficients
2
,
()
ii ii i iji j
i i i j i
J b x c x c x x
<
= + + +
∑ ∑ ∑0
x a
22 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
RSM
Estimation problem:
≈JXc
T
1 2 M
J J J? ?=
? ?
J "
1 1 1 1
1 2 1 1
2
1
1 2 1 1
1
1
1
M M M M
x x x x
x
x x x x
? ?
? ?
? ?
? ?
? ?
? ?
? ?
= ? ?
? ?
? ?
? ?
? ?
? ?
? ?
? ?
? ?
X
" "
# #
0
1
1p
c
c
c
?
? ?
? ?
? ?
=
? ?
? ?
? ?
? ?
c
J=vector containing
M responses
c=vector containing
p coefficients
x=M×p matrix
containing M design
vector inputs as rows.
Columns depend on
approximation.
Least squares solution:
( )
1
T T
?
=c X X X J
23 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Kriging
? RSM tends to create a global model of the design space
(especially if all points weighted equally in the LS)
? May be of limited accuracy when multiple extrema exist
(especially quadratic polynomial models)
? Kriging : combine global model of design space with a
model for local deviations which interpolates sample points
? Developed in fields of spatial statistics and geostatistics
? Original statistical techniques developed by mining
engineer D.G. Krige
? Interpolation-based modeling technique
? Computationally more expensive and not as simple to
implement as RSM
24 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Kriging
Unknown function to be modeled expressed as:
() () ()J f Z= +x x x
? known function
? “global” model for design
space
? e.g. use RSM to fit f(x) using
M observations
? Gaussian random function
? zero mean
? variance σ
2
? “localized” deviation from
global model
cov ( ), ( ) ( , )
i j i j
Z Z Rσ
2
? ? ? ?=
? ? ? ?
x x R x x
covariance matrix of Z(x)
correlation matrix
correlation function
25 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Approximation Methods Overview
Design variable linking
Reduced-basis methods
? reduce the number of
design variables in
the optimization code
? simcode analysis full
order
Response surface methods
Kriging
? same number of
design variables
? simcode analysis
simplified
Variable-fidelity methods
? combine high-fidelity and
approximation models
26 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Variable Fidelity Models
Initialization
High-fidelity model
Approximation model Optimizer
x
J(x), g(x)
optimization on a simplified model
recourse to
detailed model
From: Fig. 1, Alexandrov et al.
? Use information from high-fidelity
model to check approximate designs
? Optimize using approximate model
? Recalibrate using high-fidelity model
27 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Variable Fidelity Models
Questions:
? What do we do when the design derived from the low-
fidelity optimization does not provide an improvement
in the true objective?
? How can we use information about the predictive
capability of the approximation model to decide when
to go back to the high-fidelity model?
? How do we decide when to update the approximate
model?
28 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Variable Fidelity Models
When optimization with approximation model is
unsuccessful, there are two possible approaches:
1. Improve the fidelity of the approximate model
2. Do “less” optimization
One option: use a trust region approach
current iterate x
k
trust region
design space
29 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Trust Region Approach
Classic approach:
? Regulate the length of the steps taken by the iterative
optimization algorithm
? Regulate based on quality of current approximation model
e.g. Quadratic Taylor series model:
1
( ) ( ) ( ) ( )
2
T
k k k k k T k
J q J J? ?+ ≈ + = + ? +
? ?
x s x s x x s s B s
where s is the prospective step in the design variables, ?x,
and B
k
is a model of the Hessian matrix at x
k
.
30 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Trust Region Approach
? Restrict the step size to a region in which we trust the
quadratic model to approximate J well
? Done by adding a constraint on the step
? trust region subproblem
min ( )
s.t.
k k
k
q
δ
+
≤
x s
s
? In practice, variables are scaled to improve performance
(step size can vary in different directions)
? Then decide whether to accept the step:
1
if ( ) ( )
otherwise
k k k
k
k
J J
+
? + + <
=
?
?
x s x s x
x
x
31 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Trust Region Update
? Trust radius, δ
k
, is updated adaptively
? Update depends on predictive quality of quadratic model:
? if model did a good job of predicting J, or if there
was more improvement than predicted, then
increase δ
k
? if model did a bad job of predicting J (J increased or
decrease was much lower than predicted), then
decrease δ
k
? if model did an acceptable job of predicting J, then
do not change δ
k
32 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Trust Region Update
? Numerically, compare actual and predicted decrease:
() ( )
() ( )
k k
k k
J J
r
J q
? +
=
? +
x x s
x x s
? Define constants r
1
, r
2
(r
1
<r
2
) and apply the rules:
?if r< r
1
, decrease the trust radius
?if r>r
2
, increase the trust radius
? Typical values are r
1
=0.1, r
2
=0.75
? Note that prediction of ascent/descent is more
important than prediction of actual value
33 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Classic Trust Region Algorithm
For k=0,1,... until convergence do {
Find an approximate solution s
k
to the subproblem:
0 0
Choose and 0
n
δ∈ >x \
min ( )
s.t.
k k
k
q
δ
+
≤
x s
s
Compare the actual and predicted decrease:
() ( )
() ( )
k k
k k
J J
r
J q
? +
=
? +
x x s
x x s
Update x
k
and δ
k
}
From Fig. 2, Alexandrov et al.
34 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
β-Correlation Method
? Basic idea is to take low-fidelity approximate
model, J
a
, and correct it by scaling
? Define the scale factor:
()
()
a
J
J
β =
x
x
Given the current design x
k
, build a first order model
of β about x
k
:
() ) )( )
k k k k
β β β=( +?( ?x x x x x
Optimize with approximate model and use local model of
β to scale result :
() ()
k
a
J Jβ≈x x
35 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Variable Complexity Model
? iSight uses a Variable Complexity Model (VCM)
? Use two simcodes for the same physical process:
(1) more accurate, longer running (exact) J(x)
(2) less accurate, shorter running (approx.) J
a
(x)
? Compute a multiplicative or additive correction factor,
σ :
0
0
)
)
() )
a
a
J
J
J J
σ
σ
(
=
(
= (
x
x
x x
0 0
) )
() )
a
a
J J
J J
σ
σ
=( ? (
=+ (
x x
x x
or
36 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
VCM
Optimization
Simcode
J(x)
Optimization
Approx.
J
a
(x)
Optimization
Approx.
J
a
(x)
Simcode
J(x)
Conventional optimization
with simcode
Conventional optimization
with approximate model
Optimize with approximate
model, update with simcode:
1. Run both models, calculate σ
0
2. Optimize using approximate
model and σ
0
3. Update correction factor using
simcode and repeat
37 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
Lecture Summary
? Approximation methods are one way to capture high-fidelity responses
without the computational cost
? Design variable linking if physical problem allows
? Reduced-basis methods use low-order representation of the design vector
? use previous designs, DoE or POD
? Response surface methodology
? use polynomial models
? weighted least squares
? Kriging
? interpolation models
? global + local behavior
? Variable-fidelity models
? Trust region approach
? β-correlation
38 ? Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox
Engineering Systems Division and Dept. of Aeronautics and Astronautics
References
Barthelemy, J-F. M. and Haftka, R.T., “Approximation concepts for optimum
structural design – a review”, Structural Optimization, 5:129-144, 1993.
Giunta, A.A. and Watson, L.T.,”A comparison of approximation modeling
techniques: polynomial versus interpolating models”, AIAA Paper 98-4758, 1998.
LeGresley, P.A. and Alonso, J.J., “Airfoil design optimization using reduced order
models based on proper orthogonal decomposition”, AIAA Paper 2000-2545.
Alexandrov, N., Dennis, J.E., Lewis, R.M. and Torczon, V., “A trust region
framework for managing the use of approximation models in optimization”, NASA
CR-201745, ICASE Report No. 97-50, October 1997.
Practical Optimization, P.E. Gill, W. Murray and M.H. Wright, Academic Press,
1986.
Numerical Optimization Techniques for Engineering Design, G.N. Vanderplaats,
Vanderplaats R&D, 1999.