Fuzzy clustering based Gaussian Process Model for large training set and its application in expensive evolutionary optimization

Gaussian process model is an effective and efficient method for approximating a continuous function. However, its computational cost increases exponentially with the size of training data set. A very popular way to alleviate this shortcoming is to cluster the whole training data set into a number of small clusters and then a local model is built for each cluster. However, widely used crisp clustering might not be accurate in the boundary areas among different clusters. This paper proposes a fuzzy clustering based method for improving approximation quality. Several clusters with overlaps are firstly obtained by Fuzzy C-Means clustering and then local models are built for these clusters. It has been demonstrated that this method can be used with evolutionary algorithms for dealing expensive optimization problems.