New Sampling Strategies When Searching for Robust Solutions

Many real-world optimization problems involve uncertainties, and in such situations it is often desirable to identify robust solutions that perform well over the possible future scenarios. In this paper, we focus on input uncertainty, such as in manufacturing, where the actual manufactured product may differ from the specified design but should still function well. Estimating a solution's expected fitness in such a case is challenging, especially if the fitness function is expensive to evaluate, and its analytic form is unknown. One option is to average over a number of scenarios, but this is computationally expensive. The archive sample approximation method reduces the required number of fitness evaluations by reusing previous evaluations stored in an archive. The main challenge in the application of this method lies in determining the locations of additional samples drawn in each generation to enrich the information in the archive and reduce the estimation error. In this paper, we use the Wasserstein distance metric to approximate the possible benefit of a potential sample location on the estimation error, and propose new sampling strategies based on this metric. Contrary to previous studies, we consider a sample's contribution for the entire population, rather than inspecting each individual separately. This also allows us to dynamically adjust the number of samples to be collected in each generation. An empirical comparison with several previously proposed archive-based sample approximation methods demonstrates the superiority of our approaches.