Optimal computation budget allocation with Gaussian process regression

DOI10.1016/J.EJOR.2024.11.049MaRDI QIDQ6982106zbMATH OpenFDO

Authors Mingjie Hu, Jie Xu, Chun-Hung Chen, Jian-Qiang Hu

Publication date 19 May 2025

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

Full work available at URL https://doi.org/10.1016/J.EJOR.2024.11.049

zbMATH Keywords

Gaussian process regressionoptimal computing budget allocationranking \& selectionsimulationspatial correlation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Mathematical modeling or simulation for problems pertaining to operations research and mathematical programming (90-10) Applications of mathematical programming (90C90) Spatial models in economics (91B72)

Cites work

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• An efficient simulation procedure for the expected opportunity cost using metamodels
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• Efficient Simulation Sampling Allocation Using Multifidelity Models
• Global optimization
• Optimal computing budget allocation for regression with gradient information
• Plausible Screening Using Functional Properties for Simulations with Large Solution Spaces
• Ranking and Selection with Covariates for Personalized Decision Making
• Simulation allocation for determining the best design in the presence of correlated sampling
• Simulation budget allocation for further enhancing the efficiency of ordinal optimization
• Stochastic kriging for simulation metamodeling
• The correlated knowledge gradient for simulation optimization of continuous parameters using Gaussian process regression
• The knowledge-gradient policy for correlated normal beliefs

Cited in

(4)

• Efficient simulation budget allocation for contextual ranking and selection with quadratic models
• Bayesian variable selection in Kriging metamodeling for quality design
• Adaptive sequential selection procedures for optimal quantile with control variates
• Optimal control by policy iterations and constrained Gaussian process regressions

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