Hierarchical knowledge gradient for sequential sampling

MaRDI QIDQ5396715zbMATH OpenFDO

Authors Martijn Mes, Warren Powell, Peter I. Frazier

Publication date 3 February 2014

Full work available at URL http://www.jmlr.org/papers/v12/mes11a.html

zbMATH Keywords

adaptive learningBayesian statisticshierarchical statisticsranking and selectionsequential experimental design

Mathematics Subject Classification ID

Bayesian inference (62F15) Learning and adaptive systems in artificial intelligence (68T05) Nonconvex programming, global optimization (90C26)

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Cited in

(24)

• A unified framework for stochastic optimization
• Refined knowledge-gradient policy for learning probabilities
• Approximate dynamic programming for planning a ride-hailing system using autonomous fleets of electric vehicles
• An aggregation-based approximate dynamic programming approach for the periodic review model with random yield
• The knowledge-gradient policy for correlated normal beliefs
• The knowledge-gradient algorithm for sequencing experiments in drug discovery
• Optimal learning in linear regression with combinatorial feature selection
• Consistency of sequential Bayesian sampling policies
• The correlated knowledge gradient for simulation optimization of continuous parameters using Gaussian process regression
• Optimal learning with local nonlinear parametric models over continuous designs
• A Knowledge-Gradient Policy for Sequential Information Collection
• Finite-time analysis for the knowledge-gradient policy
• Bayesian exploration for approximate dynamic programming
• On parallel policies for ranking and selection problems
• A knowledge gradient policy for sequencing experiments to identify the structure of RNA molecules using a sparse additive belief model
• Nested-Batch-Mode Learning and Stochastic Optimization with An Application to Sequential MultiStage Testing in Materials Science
• Bayesian optimization via simulation with pairwise sampling and correlated prior beliefs
• Technical note—Knowledge gradient for selection with covariates: Consistency and computation
• Information theory for ranking and selection
• Projected Gaussian Markov improvement algorithm for high-dimensional discrete optimization via simulation
• Dice and slice simulation optimization for high-dimensional discrete problems
• Stochastic dynamic inventory-routing: a comprehensive review
• Optimal learning for sequential sampling with non-parametric beliefs
• Optimal learning with a local parametric belief model

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