An adjoint for likelihood maximization

DOI10.1098/RSPA.2009.0096MaRDI QIDQ3561996zbMATH OpenOpenAlexFDO

Authors David J. J. Toal, Alexander I. J. Forrester, N. W. Bressloff, Andy J. Keane, Carren M. E. Holden

Publication date 19 May 2010

Published in Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL http://rspa.royalsocietypublishing.org/content/vol465/issue2111/, https://eprints.soton.ac.uk/71661/1/Toal_09.pdf

zbMATH Keywords

algorithmic differentiationkriginglikelihood maximization

Mathematics Subject Classification ID

Response surface designs (62K20) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cites work

• Optimization using surrogate models and partially converged computational fluid dynamics simulations

Cited in

(7)

• Efficient optimization of the likelihood function in Gaussian process modelling
• Fast derivatives of likelihood functionals for ODE based models using adjoint-state method
• Engineering design applications of surrogate-assisted optimization techniques
• Adams Conditioning and Likelihood Ratio Transfer Mediated Inference
• A non-intrusive solution to the ill-conditioning problem of the gradient-enhanced Gaussian covariance matrix for Gaussian processes
• A solution to the ill-conditioning of gradient-enhanced covariance matrices for Gaussian processes
• Efficient gradient-enhanced Bayesian optimizer with comparisons to conjugate-gradient and quasi-Newton optimizers for unconstrained local optimization

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