Journal of Global Optimization

, Volume 59, Issue 4, pp 865–889 | Cite as

SO-I: a surrogate model algorithm for expensive nonlinear integer programming problems including global optimization applications

  • Juliane MüllerEmail author
  • Christine A. Shoemaker
  • Robert Piché


This paper presents the surrogate model based algorithm SO-I for solving purely integer optimization problems that have computationally expensive black-box objective functions and that may have computationally expensive constraints. The algorithm was developed for solving global optimization problems, meaning that the relaxed optimization problems have many local optima. However, the method is also shown to perform well on many local optimization problems, and problems with linear objective functions. The performance of SO-I, a genetic algorithm, Nonsmooth Optimization by Mesh Adaptive Direct Search (NOMAD), SO-MI (Müller et al. in Comput Oper Res 40(5):1383–1400, 2013), variable neighborhood search, and a version of SO-I that only uses a local search has been compared on 17 test problems from the literature, and on eight realizations of two application problems. One application problem relates to hydropower generation, and the other one to throughput maximization. The numerical results show that SO-I finds good solutions most efficiently. Moreover, as opposed to SO-MI, SO-I is able to find feasible points by employing a first optimization phase that aims at minimizing a constraint violation function. A feasible user-supplied point is not necessary.


Integer optimization Derivative-free Computationally expensive  Surrogate model Response surface  Linear and nonlinear Nonconvex  Radial basis functions  Multimodal Global optimization 

List of symbols


Genetic algorithm


Nonsmooth Optimization by Mesh Adaptive Direct Search


Radial basis function


Standard error of means


Surrogate Optimization-Integer


Surrogate Optimization-Mixed Integer


local-Surrogate Optimization-Integer


Variable neighborhood search

\(\mathbb R \)

Real numbers

\(\mathbb Z \)

Integer numbers

\(\mathbf u \)

Discrete decision variable vector, see Eq. (1d)

\(f(\cdot )\)

Objective function, see Eq. (1a)

\(c_j(\cdot )\)

\(j\)th constraint function, \(j=1,\ldots , m\), see Eq. (1b)


Number of constraints


Problem dimension


Index for the constraints


Index for the variables


Lower and upper bounds for the \(i\)th variable, see Eq. (1c)

\(\varOmega _b\)

Box-constrained variable domain

\(\varOmega \)

Feasible variable domain

\(\mathcal S \)

Set of already evaluated points


Number of points in initial experimental design

\(q(\cdot )\)

Auxiliary function for minimizing constraint violation in phase 1, see Eq. (5)

\(f_p(\cdot )\)

Objective function value augmented with penalty term, see Eq. (6)

\(f_\text {max}\)

Objective function value of the worst feasible point found so far, see Eq. (6)


Penalty factor, see Eq. (6)

\(v(\cdot )\)

Squared constraint violation function, see Eq. (7)

\({\varvec{\chi }}_\jmath \)

\(\jmath \)th candidate point for next sample site, \(\jmath =1,\ldots , t\)


Number of already sampled points

\(s(\cdot )\)

Radial basis function interpolant

\(V(\cdot )\)

Weighted score, see Eq. (8)

\(\omega _R, \omega _D\)

Weights for response surface and distance criteria, respectively



The project has been supported by NSF CISE: AF 1116298 and CPA-CSA-T 0811729. The first author thanks the Finnish Academy of Science and Letters, Vilho, Yrjö and Kalle Väisälä Foundation for the financial support. The authors thank the anonymous reviewers for their helpful comments and suggestions.

Supplementary material

10898_2013_101_MOESM1_ESM.pdf (99 kb)
Supplementary material 1 (pdf 99 KB)


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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  • Juliane Müller
    • 1
    Email author
  • Christine A. Shoemaker
    • 2
    • 3
  • Robert Piché
    • 4
  1. 1.School of Civil and Environmental EngineeringCornell UniversityIthacaUSA
  2. 2.School of Civil and Environmental Engineering, Center of Applied MathematicsCornell UniversityIthacaUSA
  3. 3.School of Operations Research and Information Engineering, Center of Applied MathematicsCornell UniversityIthacaUSA
  4. 4.Department of MathematicsTampere University of TechnologyTampereFinland

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