Optimization of Noisy Fitness Functions by Means of Genetic Algorithms Using History of Search

Abstract

In the present paper, optimization of functions with uncertainty by means of Genetic Algorithms (GA) is discussed. For such problems, there have been proposed methods of sampling fitness function several times and taking average of them for evaluation of each individual. However, important applications having uncertain fitness functions are online adaptation of real systems and complicated computer simulation using random variables. In such applications, possible number of fitness evaluation is quite limited. Hence, methods achieving optimization with less number of fitness evaluation is needed. In the present paper, the authors propose a GA for optimization of continuous fitness functions with observation noise utilizing history of search so as to reduce number of fitness evaluation. In the proposed method, value of fitness function at a novel search point is estimated not only by the sampled fitness value at that point but also by utilizing the fitness values of individuals stored in the history of search. Computer experiments using quadric fitness functions show that the proposed method outperforms the conventional GA of sampling fitness values several times at each search point in noisy environment.