Bayesian adaptive reconstruction of profile optima and optimizers

DOI10.1137/130949555MaRDI QIDQ2938455zbMATH OpenOpenAlexFDO

Authors Jean Baccou, Clément Chevalier, Nicolas Garland, D. Ginsbourger, Frédéric Perales, Yann Monerie

Publication date 14 January 2015

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/130949555

zbMATH Keywords

active learningconditional simulationexpected improvementGaussian process regressionrobust designuncertainty quantification

Mathematics Subject Classification ID

Response surface designs (62K20) Sequential statistical design (62L05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical optimization and variational techniques (65K10) Derivative-free methods and methods using generalized derivatives (90C56)

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Cited in

(8)

• Expected improvement for expensive optimization: a review
• Robust calibration of numerical models based on relative regret
• A supermartingale approach to Gaussian process based sequential design of experiments
• Conditional optimization of a noisy function using a kriging metamodel
• Bayesian optimization of expected quadratic loss for multiresponse computer experiments with internal noise
• Profile Extrema for Visualizing and Quantifying Uncertainties on Excursion Regions: Application to Coastal Flooding
• Continuous multi-task Bayesian optimisation with correlation
• Fast update of conditional simulation ensembles

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