Optimal computing budget allocation for regression with gradient information

DOI10.1016/J.AUTOMATICA.2021.109927zbMATH Open1478.93744OpenAlexW3205730600MaRDI QIDQ2665728FDOQ2665728

Authors: Tianxiang Wang, Jie Xu, Jianqiang Hu, Chun-Hung Chen 

Publication date: 19 November 2021

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2021.109927

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zbMATH Keywords

quadratic modelstochastic systemssimulation optimizationcomputing budget allocationgradient information

Mathematics Subject Classification ID

Bayesian inference (62F15) Optimal stochastic control (93E20)

Cites Work

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• On the convergence rates of expected improvement methods
• An efficient simulation procedure for ranking the top simulated designs in the presence of stochastic constraints
• A new budget allocation framework for the expected opportunity cost
• Ranking and Selection as Stochastic Control
• Complete expected improvement converges to an optimal budget allocation
• Robust ranking and selection with optimal computing budget allocation
• Regression models augmented with direct stochastic gradient estimators
• Efficient Simulation Sampling Allocation Using Multifidelity Models

Cited In (3)

• An efficient simulation procedure for the expected opportunity cost using metamodels
• Two‐stage computing budget allocation approach for the response surface method
• Convergence rate analysis for optimal computing budget allocation algorithms

Uses Software

• BayesDA

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