Rapid Discrete Optimization via Simulation with Gaussian Markov Random Fields

DOI10.1287/ijoc.2020.0971OpenAlexW3092934784MaRDI QIDQ5085466

Mark Semelhago, Eunhye Song, Andreas Wächter, Barry L. Nelson

Publication date: 27 June 2022

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

Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/149867/2/SemelhagoNelsonSongWaechterIJoCAAM.pdf

zbMATH Keywords

design of experimentsefficiencystatistical analysis

Mathematics Subject Classification ID

Numerical analysis (65-XX) Operations research, mathematical programming (90-XX)

Uses Software

• PARDISO
• GMRFLib
• EGO
• Virtual library

Cites Work

• Inverse M-matrices
• Efficient global optimization of expensive black-box functions
• The design and analysis of computer experiments.
• The Knowledge-Gradient Policy for Correlated Normal Beliefs
• Balancing Exploitation and Exploration in Discrete Optimization via Simulation Through a Gaussian Process-Based Search
• A procedure for selecting a subset of size m containing the l best of k independent normal populations, with applications to simulation
• Gaussian Markov Random Fields
• Gaussian Markov Random Fields for Discrete Optimization via Simulation: Framework and Algorithms
• Complete expected improvement converges to an optimal budget allocation
• Bayesian Optimization via Simulation with Pairwise Sampling and Correlated Prior Beliefs

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