On the Convergence Rates of Expected Improvement Methods
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Publication:2957473
DOI10.1287/opre.2016.1494zbMath1359.62519OpenAlexW2401855953MaRDI QIDQ2957473
Publication date: 26 January 2017
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/576c3122675cb0e123c5288a3142d30d58527d8c
Applications of statistics to economics (62P20) Bayesian problems; characterization of Bayes procedures (62C10) Decision theory (91B06) Sequential statistical design (62L05)
Related Items (18)
Solving Large-Scale Fixed-Budget Ranking and Selection Problems ⋮ Dynamic Sampling Allocation Under Finite Simulation Budget for Feasibility Determination ⋮ Optimal computing budget allocation for regression with gradient information ⋮ Technical note—Knowledge gradient for selection with covariates: Consistency and computation ⋮ Ranking and selection for pairwise comparison ⋮ Sequential selection for accelerated life testing via approximate Bayesian inference ⋮ Asymptotic optimality of myopic ranking and selection procedures ⋮ Convergence rate analysis for optimal computing budget allocation algorithms ⋮ Technical Note—Consistency Analysis of Sequential Learning Under Approximate Bayesian Inference ⋮ A unified framework for stochastic optimization ⋮ Simple Bayesian Algorithms for Best-Arm Identification ⋮ Bayesian sequential data collection for stochastic simulation calibration ⋮ Expected improvement for expensive optimization: a review ⋮ Complete expected improvement converges to an optimal budget allocation ⋮ The Local Time Method for Targeting and Selection ⋮ Efficient Sampling Allocation Procedures for Optimal Quantile Selection ⋮ Cross-Validation--based Adaptive Sampling for Gaussian Process Models ⋮ Optimal budget allocation policy for tabu search in stochastic simulation optimization
Uses Software
Cites Work
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