The True Destination of EGO is Multi-local Optimization

Understand

Efficient global optimization is a popular algorithm for the optimization of expensive multimodal black-box functions.

• One important reason for its popularity is its theoretical foundation of global convergence.
• However, as the budgets in expensive optimization are very small, the asymptotic properties only play a minor role and the algorithm sometimes comes off badly in experimental comparisons.
• Many alternative variants have therefore been proposed over the years.