Combined Global and Local Search for Optimization with Gaussian Process Models

DOI10.1287/IJOC.2021.1078OpenAlexW3200417641MaRDI QIDQ5084673FDOQ5084673

Authors: Qun Meng, Songhao Wang, Szu Hui Ng 

Publication date: 28 June 2022

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.03217

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zbMATH Keywords

Gaussian processsimulation optimizationglobal and local search

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• Efficient global optimization of expensive black-box functions
• Model-Based Clustering, Discriminant Analysis, and Density Estimation
• Stochastic kriging for simulation metamodeling
• A unifying view of sparse approximate Gaussian process regression
• Title not available (Why is that?)
• Composite Gaussian process models for emulating expensive functions
• Lipschitzian optimization without the Lipschitz constant
• Global optimization of stochastic black-box systems via sequential kriging meta-models
• Convergence rates of efficient global optimization algorithms
• Industrial strength COMPASS: a comprehensive algorithm and software for optimization via simulation
• The knowledge-gradient policy for correlated normal beliefs
• A stochastic radial basis function method for the global optimization of expensive functions
• Simulation budget allocation for further enhancing the efficiency of ordinal optimization
• Expected improvement in efficient global optimization through bootstrapped Kriging
• Stopping and restarting strategy for stochastic sequential search in global optimization
• Multiobjective optimization using Gaussian process emulators via stepwise uncertainty reduction
• Efficient Dynamic Simulation Allocation in Ordinal Optimization
• Comparison of Kriging-based algorithms for simulation optimization with heterogeneous noise
• Balancing Exploitation and Exploration in Discrete Optimization via Simulation Through a Gaussian Process-Based Search
• An extended two-stage sequential optimization approach: properties and performance
• Ranking and Selection as Stochastic Control
• Efficient Simulation Sampling Allocation Using Multifidelity Models

Cited In (2)

• Global optimization for mixed categorical-continuous variables based on Gaussian process models with a randomized categorical space exploration step
• Exploiting Variance Reduction Potential in Local Gaussian Process Search

Uses Software

• MLMSRBF
• EGO
• Spearmint

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