Optimal computing budget allocation for regression with gradient information

DOI10.1016/J.AUTOMATICA.2021.109927MaRDI QIDQ2665728zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

quadratic modelstochastic systemssimulation optimizationcomputing budget allocationgradient information

Mathematics Subject Classification ID

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

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Cites work

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• Complete expected improvement converges to an optimal budget allocation
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• Global optimization
• Gradient Extrapolated Stochastic Kriging
• Multi-objective ordinal optimization for simulation optimization problems
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• Optimum experimental designs, with SAS
• Ranking and Selection as Stochastic Control
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• Robust ranking and selection with optimal computing budget allocation
• Selecting a selection procedure
• Simulation budget allocation for further enhancing the efficiency of ordinal optimization
• Simulation budget allocation for simultaneously selecting the best and worst subsets
• Simulation-based optimization of process control policies for inventory management in supply chains
• Spacing of Information in Polynomial Regression
• Stochastically Constrained Ranking and Selection via SCORE
• Topics in optimal design

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

Describes a project that uses

Uses Software

• BayesDA

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