Multiobjective optimization using Gaussian process emulators via stepwise uncertainty reduction
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Publication:5963824
DOI10.1007/S11222-014-9477-XzbMATH Open1331.90102arXiv1310.0732OpenAlexW2060568485MaRDI QIDQ5963824FDOQ5963824
Publication date: 23 February 2016
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: Optimization of expensive computer models with the help of Gaussian process emulators in now commonplace. However, when several (competing) objectives are considered, choosing an appropriate sampling strategy remains an open question. We present here a new algorithm based on stepwise uncertainty reduction principles to address this issue. Optimization is seen as a sequential reduction of the volume of the excursion sets below the current best solutions, and our sampling strategy chooses the points that give the highest expected reduction. Closed-form formulae are provided to compute the sampling criterion, avoiding the use of cumbersome simulations. We test our method on numerical examples, showing that it provides an efficient trade-off between exploration and intensification.
Full work available at URL: https://arxiv.org/abs/1310.0732
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- scientific article; zbMATH DE number 6746319
Applications of statistics (62P99) Approximation methods and heuristics in mathematical programming (90C59)
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Cited In (17)
- FlexiBO: A Decoupled Cost-Aware Multi-Objective Optimization Approach for Deep Neural Networks
- Multiobjective Tree-Structured Parzen Estimator
- Output Space Entropy Search Framework for Multi-Objective Bayesian Optimization
- Deep Gaussian process for multi-objective Bayesian optimization
- Global optimization for mixed categorical-continuous variables based on Gaussian process models with a randomized categorical space exploration step
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- A Multilevel Simulation Optimization Approach for Quantile Functions
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