Continuous multi-task Bayesian optimisation with correlation

DOI10.1016/J.EJOR.2018.03.017MaRDI QIDQ724020zbMATH OpenOpenAlexFDO

Authors Michael Pearce, Jürgen Branke

Publication date 25 July 2018

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL http://wrap.warwick.ac.uk/99848/7/WRAP-continuous-multi-task-Bayesian-optimisation-correlation-Branke-2018.pdf

zbMATH Keywords

heuristicsparameter tuningglobal optimisationmulti-task optimisation

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Nonconvex programming, global optimization (90C26) Sensitivity, stability, parametric optimization (90C31)

Recommendations

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Cites work

• Active contextual policy search
• An informational approach to the global optimization of expensive-to-evaluate functions
• Bayesian adaptive reconstruction of profile optima and optimizers
• Efficient global optimization of expensive black-box functions
• Global optimization of stochastic black-box systems via sequential kriging meta-models
• Multi-fidelity optimization via surrogate modelling
• Sequential design for ranking response surfaces
• The correlated knowledge gradient for simulation optimization of continuous parameters using Gaussian process regression
• The knowledge-gradient policy for correlated normal beliefs
• Tracking global optima in dynamic environments with efficient global optimization
• Updating the Inverse of a Matrix

Cited in

(5)

• Bayesian optimization for policy search via online-offline experimentation
• Technical note—Knowledge gradient for selection with covariates: Consistency and computation
• Quality-Diversity Optimization: A Novel Branch of Stochastic Optimization
• Bayesian optimisation for constrained problems
• Contextual ranking and selection with Gaussian processes and optimal computing budget allocation

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Uses Software

• EGO

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