A sampling criterion for constrained Bayesian optimization with uncertainties
From MaRDI portal
Abstract: We consider the problem of chance constrained optimization where it is sought to optimize a function and satisfy constraints, both of which are affected by uncertainties. The real world declinations of this problem are particularly challenging because of their inherent computational cost. To tackle such problems, we propose a new Bayesian optimization method. It applies to the situation where the uncertainty comes from some of the inputs, so that it becomes possible to define an acquisition criterion in the joint controlled-uncontrolled input space. The main contribution of this work is an acquisition criterion that accounts for both the average improvement in objective function and the constraint reliability. The criterion is derived following the Stepwise Uncertainty Reduction logic and its maximization provides both optimal controlled and uncontrolled parameters. Analytical expressions are given to efficiently calculate the criterion. Numerical studies on test functions are presented. It is found through experimental comparisons with alternative sampling criteria that the adequation between the sampling criterion and the problem contributes to the efficiency of the overall optimization. As a side result, an expression for the variance of the improvement is given.
Recommendations
- Coupling and selecting constraints in Bayesian optimization under uncertainties
- A Bayesian approach to constrained single- and multi-objective optimization
- Expected improvement based infill sampling for global robust optimization of constrained problems
- A robust multi-objective Bayesian optimization framework considering input uncertainty
- Kriging-based infill sampling criterion for constraint handling in multi-objective optimization
Cites work
- A new expected-improvement algorithm for continuous minimax optimization
- A survey on approaches for reliability-based optimization
- Aerospace system analysis and optimization in uncertainty
- Analysis of adaptive directional stratification for the controlled estimation of rare event probab\-ilities
- Computational methods in optimization considering uncertainties - An overview
- Data-driven stochastic inversion via functional quantization
- Gradient-based simulation optimization under probability constraints
- Group kernels for Gaussian process metamodels with categorical inputs
- scientific article; zbMATH DE number 3148887 (Why is no real title available?)
- scientific article; zbMATH DE number 653035 (Why is no real title available?)
- Introduction to Stochastic Search and Optimization
- Introduction to vector quantization and its applications for numerics
- On safe tractable approximations of chance constraints
- Recent advances in robust optimization: an overview
- Robust optimization
- Robust optimization - a comprehensive survey
- Sequential design of computer experiments for the estimation of a probability of failure
- Simultaneous Kriging-based estimation and optimization of mean response
- Stochastic Estimation of the Maximum of a Regression Function
Cited in
(3)
This page was built for publication: A sampling criterion for constrained Bayesian optimization with uncertainties
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6126129)
