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A Stepwise uncertainty reduction approach to constrained global optimization
| Citations: | 3 - 0 self |
BibTeX
@MISC{Picheny_astepwise,
author = {Victor Picheny},
title = {A Stepwise uncertainty reduction approach to constrained global optimization},
year = {}
}
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Abstract
Using statistical emulators to guide sequen-tial evaluations of complex computer exper-iments is now a well-established practice. When a model provides multiple outputs, a typical objective is to optimize one of the out-puts with constraints (for instance, a thresh-old not to exceed) on the values of the other outputs. We propose here a new optimiza-tion strategy based on the stepwise uncer-tainty reduction paradigm, which offers an efficient trade-off between exploration and lo-cal search near the boundaries. The strategy is illustrated on numerical examples. 1
Keyphrases
global optimization stepwise uncertainty reduction approach numerical example typical objective stepwise uncer-tainty reduction paradigm statistical emulator complex computer exper-iments sequen-tial evaluation well-established practice efficient trade-off lo-cal search multiple output new optimiza-tion strategy
