Optimal Learning for Stochastic Optimization with Nonlinear Parametric Belief Models

DOI10.1137/16M1073042zbMath1400.90233arXiv1611.07161OpenAlexW2549369420MaRDI QIDQ4586173

Xinyu He, Warren B. Powell

Publication date: 12 September 2018

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.07161

zbMATH Keywords

optimal learningknowledge gradientnonlinear parametric modelsequential experimentation process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Stochastic programming (90C15) Sequential statistical design (62L05) Statistical ranking and selection procedures (62F07)

Related Items

Optimal Learning for Nonlinear Parametric Belief Models Over Multidimensional Continuous Spaces, Optimal Learning with Local Nonlinear Parametric Models over Continuous Designs

Uses Software

• EGO
• ElemStatLearn

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A literature survey of benchmark functions for global optimisation problems
• Adaptation and tracking in system identification - a survey
• A survey on metaheuristics for stochastic combinatorial optimization
• Iterative learning control for deterministic systems
• Efficient global optimization of expensive black-box functions
• Convergence results for single-step on-policy reinforcement-learning algorithms
• Simulation budget allocation for further enhancing the efficiency of ordinal optimization
• Bayesian look ahead one-stage sampling allocations for selection of the best population
• On the Solution of Stochastic Optimization and Variational Problems in Imperfect Information Regimes
• Active Learning
• The Knowledge-Gradient Policy for Correlated Normal Beliefs
• The Knowledge-Gradient Algorithm for Sequencing Experiments in Drug Discovery
• Optimal Learning in Experimental Design Using the Knowledge Gradient Policy with Application to Characterizing Nanoemulsion Stability
• Multi‐Armed Bandit Allocation Indices
• Approximate Dynamic Programming
• A Knowledge-Gradient Policy for Sequential Information Collection
• Learning the demand function in a repeated Cournot oligopoly game
• A Simple Distribution-Free Approach to the Max k-Armed Bandit Problem
• Introduction to Stochastic Search and Optimization
• Finite-time analysis of the multiarmed bandit problem