Parallel Bayesian Global Optimization of Expensive Functions

DOI10.1287/opre.2019.1966zbMath1457.90118arXiv1602.05149OpenAlexW3036152138MaRDI QIDQ5144800

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Publication date: 19 January 2021

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.05149

zbMATH Keywords

infinitesimal perturbation analysisparallel optimizationBayesian optimizationparallel expected improvement

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Derivative-free methods and methods using generalized derivatives (90C56) Approximation methods and heuristics in mathematical programming (90C59)

Related Items (8)

Algorithm 1025: PARyOpt: A Software for P arallel A synchronous R emote Ba y esian Opt imization ⋮ On parallel policies for ranking and selection problems ⋮ Parallel efficient global optimization by using the minimum energy criterion ⋮ An asynchronous parallel high-throughput model calibration framework for crystal plasticity finite element constitutive models ⋮ Multi-fidelity cost-aware Bayesian optimization ⋮ Constrained Bayesian optimization with noisy experiments ⋮ Combining Bayesian optimization and Lipschitz optimization ⋮ Unnamed Item

Uses Software

• L-BFGS
• SciPy
• EGO
• DiceOptim
• Python
• Spearmint
• QSIMVN
• MOE

Cites Work

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• Design and analysis of computer experiments. With comments and a rejoinder by the authors
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• The Knowledge-Gradient Policy for Correlated Normal Beliefs
• One-dimensional Global Optimization Based on Statistical Models
• Bayesian stopping rules for multistart global optimization methods
• Performance evaluation and perturbation analysis of discrete event dynamic systems
• Direct Search Methods on Parallel Machines
• Bayesian Optimization via Simulation with Pairwise Sampling and Correlated Prior Beliefs
• On the condition number of covariance matrices in kriging, estimation, and simulation of random fields

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