Bayesian Quadrature Optimization for Probability Threshold Robustness Measure

DOI10.1162/NECO_A_01442zbMATH Open1483.90064arXiv2006.11986OpenAlexW3209306202MaRDI QIDQ5034491FDOQ5034491

Authors: Shogo Iwazaki, Yu Inatsu, Ichiro Takeuchi 

Publication date: 18 February 2022

Published in: Neural Computation (Search for Journal in Brave)

Abstract: In many product development problems, the performance of the product is governed by two types of parameters called design parameter and environmental parameter. While the former is fully controllable, the latter varies depending on the environment in which the product is used. The challenge of such a problem is to find the design parameter that maximizes the probability that the performance of the product will meet the desired requisite level given the variation of the environmental parameter. In this paper, we formulate this practical problem as active learning (AL) problems and propose efficient algorithms with theoretically guaranteed performance. Our basic idea is to use Gaussian Process (GP) model as the surrogate model of the product development process, and then to formulate our AL problems as Bayesian Quadrature Optimization problems for probabilistic threshold robustness (PTR) measure. We derive credible intervals for the PTR measure and propose AL algorithms for the optimization and level set estimation of the PTR measure. We clarify the theoretical properties of the proposed algorithms and demonstrate their efficiency in both synthetic and real-world product development problems.

Full work available at URL: https://arxiv.org/abs/2006.11986

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• scientific article; zbMATH DE number 850164

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

Cited In (2)

• Active learning for level set estimation under input uncertainty and its extensions
• Using the knowledge gradient acquisition function in Bayesian optimization when searching for robust solutions

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