Bayesian Optimization with Expensive Integrands

DOI10.1137/19M1303125OpenAlexW2794754002MaRDI QIDQ5071110

Peter I. Frazier, Saul Toscano-Palmerin

Publication date: 20 April 2022

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

Full work available at URL: https://arxiv.org/abs/1803.08661

zbMATH Keywords

Gaussian processblack-box optimizationBayesian optimization

Mathematics Subject Classification ID

Design of statistical experiments (62K99) Bayesian inference (62F15) Sequential statistical design (62L05) Statistical ranking and selection procedures (62F07)

Related Items (2)

Technical note—Knowledge gradient for selection with covariates: Consistency and computation ⋮ Solving an inverse problem for time-series-valued computer simulators via multiple contour estimation

Uses Software

• L-BFGS-B
• L-BFGS
• LBFGS-B
• EGO
• PMTK
• Spearmint
• Adam
• GitHub
• OpenMDAO
• SMAC

Cites Work

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• Influence of ensemble surrogate models and sampling strategy on the solution quality of algorithms for~computationally expensive black-box global optimization problems
• Bayes-Hermite quadrature
• Efficient global optimization of expensive black-box functions
• Slice sampling. (With discussions and rejoinder)
• Design and analysis of computer experiments. With comments and a rejoinder by the authors
• Stratified Bayesian optimization
• Worst-case global optimization of black-box functions through Kriging and relaxation
• A supermartingale approach to Gaussian process based sequential design of experiments
• Stochastic processes with sample paths in reproducing kernel Hilbert spaces
• The Knowledge-Gradient Policy for Correlated Normal Beliefs
• Bayesian Monte Carlo for the Global Optimization of Expensive Functions
• A Knowledge-Gradient Policy for Sequential Information Collection
• Multi-fidelity optimization via surrogate modelling
• Stocking Retail Assortments Under Dynamic Consumer Substitution
• Algorithm 778: L-BFGS-B
• Convergence rates of efficient global optimization algorithms
• Envelope Theorems for Arbitrary Choice Sets

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