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A rigorous framework for optimization of expensive functions by surrogates
 Structural Optimization
, 1999
"... Abstract. The goal of the research reported here is to develop rigorous optimization algorithms to apply to some engineering design problems for which direct application of traditional optimization approaches is not practical. This paper presents and analyzes a framework for generating a sequence of ..."
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Cited by 164 (16 self)
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Abstract. The goal of the research reported here is to develop rigorous optimization algorithms to apply to some engineering design problems for which direct application of traditional optimization approaches is not practical. This paper presents and analyzes a framework for generating a sequence of approximations to the objective function and managing the use of these approximations as surrogates for optimization. The result is to obtain convergence to a minimizer of an expensive objective function subject to simple constraints. The approach is widely applicable because it does not require, or even explicitly approximate, derivatives of the objective. Numerical results are presented for a 31variable helicopter rotor blade design example and for a standard optimization test example. Key words. approximation concepts, surrogate optimization, response surfaces, pattern search methods, derivativefree optimization, design and analysis of computer experiments (DACE), computational engineering. Subject classication. Applied & Numerical Mathematics 1. Introduction. The
A Taxonomy of Global Optimization Methods Based on Response Surfaces
 Journal of Global Optimization
, 2001
"... Abstract. This paper presents a taxonomy of existing approaches for using response surfaces for global optimization. Each method is illustrated with a simple numerical example that brings out its advantages and disadvantages. The central theme is that methods that seem quite reasonable often have no ..."
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Cited by 145 (1 self)
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Abstract. This paper presents a taxonomy of existing approaches for using response surfaces for global optimization. Each method is illustrated with a simple numerical example that brings out its advantages and disadvantages. The central theme is that methods that seem quite reasonable often have nonobvious failure modes. Understanding these failure modes is essential for the development of practical algorithms that fulfill the intuitive promise of the response surface approach. Key words: global optimization, response surface, kriging, splines 1.
Latin Supercube Sampling for Very High Dimensional Simulations
, 1997
"... This paper introduces Latin supercube sampling (LSS) for very high dimensional simulations, such as arise in particle transport, finance and queuing. LSS is developed as a combination of two widely used methods: Latin hypercube sampling (LHS), and QuasiMonte Carlo (QMC). In LSS, the input variables ..."
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Cited by 73 (7 self)
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This paper introduces Latin supercube sampling (LSS) for very high dimensional simulations, such as arise in particle transport, finance and queuing. LSS is developed as a combination of two widely used methods: Latin hypercube sampling (LHS), and QuasiMonte Carlo (QMC). In LSS, the input variables are grouped into subsets, and a lower dimensional QMC method is used within each subset. The QMC points are presented in random order within subsets. QMC methods have been observed to lose effectiveness in high dimensional problems. This paper shows that LSS can extend the benefits of QMC to much higher dimensions, when one can make a good grouping of input variables. Some suggestions for grouping variables are given for the motivating examples. Even a poor grouping can still be expected to do as well as LHS. The paper also extends LHS and LSS to infinite dimensional problems. The paper includes a survey of QMC methods, randomized versions of them (RQMC) and previous methods for extending Q...
hypercube sampling and the propagation of uncertainty in analyses of complex systems, Reliability Engineering and System Safety 81
, 2003
"... ..."
Using Approximations to Accelerate Engineering Design Optimization
 Proceedings of the 7th AIAA/USAF/NASA/ISSMO Multidisciplinary Analysis & Optimization Symposium (held at Saint Louis, Missouri), Paper 984800
, 1998
"... Optimization problems that arise in engineering design are often characterized by several features that hinder the use of standard nonlinear optimization techniques. Foremost among these features is that the functions used to dene the engineering optimization problem usually require the solution of ..."
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Cited by 40 (0 self)
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Optimization problems that arise in engineering design are often characterized by several features that hinder the use of standard nonlinear optimization techniques. Foremost among these features is that the functions used to dene the engineering optimization problem usually require the solution of dierential equations, a process which is itself computationally intensive. Within a standard nonlinear optimization algorithm, the solution of these dierential equations is required for each iteration of the algorithm. To mitigate such expense, an attractive alternative is to replace the computationally intensive objective with a less expensive surrogate. In conformance with engineering practice, we draw a crucial distinction between surrogate models and surrogate approximations. Surrogate models are auxiliary simulations that are less physically faithful, but also less computationally expensive, than the expensive simulation that is regarded as \truth. " An instructive example is the use of an equivalentplate analysis method in lieu of a nite element analysis, e.g. to analyze a wingbox of a highspeed civil transport. Surrogate models exist independently of the expensive simulation and can provide new information about the physical phenomenon of interest without requiring additional runs
Numerical optimization using computer experiments
 Institute for Computer
, 1997
"... Engineering design optimization often gives rise to problems in which expensive objective functions are minimized by derivativefree methods. We propose a method for solving such problems that synthesizes ideas from the numerical optimization and computer experiment literatures. Our approach relies ..."
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Cited by 29 (10 self)
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Engineering design optimization often gives rise to problems in which expensive objective functions are minimized by derivativefree methods. We propose a method for solving such problems that synthesizes ideas from the numerical optimization and computer experiment literatures. Our approach relies on kriging known function values to construct a sequence of surrogate models of the objective function that are used to guide a grid search for a minimizer. Results from numerical experiments on a standard test problem are presented.
Lightweight emulators for multivariate deterministic functions
 FORTHCOMING IN THE JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS
, 2007
"... An emulator is a statistical model of a deterministic function, to be used where the function itself is too expensive to evaluate withintheloop of an inferential calculation. Typically, emulators are deployed when dealing with complex functions that have large and heterogeneous input and output sp ..."
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Cited by 23 (6 self)
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An emulator is a statistical model of a deterministic function, to be used where the function itself is too expensive to evaluate withintheloop of an inferential calculation. Typically, emulators are deployed when dealing with complex functions that have large and heterogeneous input and output spaces: environmental models, for example. In this challenging situation we should be sceptical about our statistical models, no matter how sophisticated, and adopt approaches that prioritise interpretative and diagnostic information, and the flexibility to respond. This paper presents one such approach, candidly rejecting the standard Smooth Gaussian Process approach in favour of a fullyBayesian treatment of multivariate regression which, by permitting sequential updating, allows for very detailed predictive diagnostics. It is argued directly and by illustration that the incoherence of such a treatment (which does not impose continuity on the model outputs) is more than compensated for by the wealth of available information, and the possibilities for generalisation.
Reified bayesian modelling and inference for physical systems (with discussion
 Journal of Statistical Planning and Inference
, 2009
"... We describe an approach, termed reified analysis, for linking the behaviour of mathematical models with inferences about the physical systems which the models represent. We describe the logical basis for the approach, based on coherent assessment of the implications of deficiencies in the mathemat ..."
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Cited by 22 (12 self)
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We describe an approach, termed reified analysis, for linking the behaviour of mathematical models with inferences about the physical systems which the models represent. We describe the logical basis for the approach, based on coherent assessment of the implications of deficiencies in the mathematical model. We show how the statistical analysis may be carried out by specifying stochastic relationships between the model that we have, improved versions of the model that we might construct, and the system itself. We illustrate our approach with an example concerning the potential shutdown of the Thermohaline Circulation in the Atlantic Ocean.
Evolutionary Search of Approximated NDimensional Landscapes
 International Journal of Knowledgebased Intelligent Engineering Systems
, 2000
"... Finding the global optimum on a large, multimodal, complex, and discontinuous (or nondifferentiable) landscape is usually very hard, even using the evolutionary approach. However, some of these complex landscapes can be approximated and smoothened without changing the nature of the problem, i.e., wi ..."
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Cited by 21 (2 self)
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Finding the global optimum on a large, multimodal, complex, and discontinuous (or nondifferentiable) landscape is usually very hard, even using the evolutionary approach. However, some of these complex landscapes can be approximated and smoothened without changing the nature of the problem, i.e., without modifying the global optimum and its location. The approximated and smoothened landscape is often much easier to search than the original one. In this paper, we propose a new algorithm using landscape approximation and hybrid evolutionary and local search. We also list several algorithm design principles. Following the basic algorithm, an example algorithm is given from our previous work of the combination of landscape approximation and local search (LALS). Furthermore, we develop a novel evolutionary algorithm with ndimensional approximation (EANA), which shares the same rules as the basic algorithm, but remedies some of the drawbacks found in the LALS. Comparisons with evo...
Bayesian Analysis For Simulation Input And Output
, 1997
"... The paper summarizes some important results at the intersection of the fields of Bayesian statistics and stochastic simulation. Two statistical analysis issues for stochastic simulation are discussed in further detail from a Bayesian perspective. First, a review of recent work in input distribution ..."
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Cited by 21 (8 self)
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The paper summarizes some important results at the intersection of the fields of Bayesian statistics and stochastic simulation. Two statistical analysis issues for stochastic simulation are discussed in further detail from a Bayesian perspective. First, a review of recent work in input distribution selection is presented. Then, a new Bayesian formulation for the problem of output analysis for a single system is presented. A key feature is analyzing simulation output as a random variable whose parameters are an unknown function of the simulation's inputs. The distribution of those parameters is inferred from simulation output via Bayesian responsesurface methods. A brief summary of Bayesian inference and decision making is included for reference.