Branch and bound algorithms for maximizing expected improvement functions

DOI10.1016/J.JSPI.2010.05.011zbMATH Open1197.62117arXiv1003.0804OpenAlexW2121437933MaRDI QIDQ710752FDOQ710752

Mark Franey, Pritam Ranjan, Hugh Chipman

Publication date: 22 October 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: Deterministic computer simulations are often used as a replacement for complex physical experiments. Although less expensive than physical experimentation, computer codes can still be time-consuming to run. An effective strategy for exploring the response surface of the deterministic simulator is the use of an approximation to the computer code, such as a Gaussian process (GP) model, coupled with a sequential sampling strategy for choosing design points that can be used to build the GP model. The ultimate goal of such studies is often the estimation of specific features of interest of the simulator output, such as the maximum, minimum, or a level set (contour). Before approximating such features with the GP model, sufficient runs of the computer simulator must be completed. Sequential designs with an expected improvement (EI) function can yield good estimates of the features with a minimal number of runs. The challenge is that the expected improvement function itself is often multimodal and difficult to maximize. We develop branch and bound algorithms for efficiently maximizing the EI function in specific problems, including the simultaneous estimation of a minimum and a maximum, and in the estimation of a contour. These branch and bound algorithms outperform other optimization strategies such as genetic algorithms, and over a number of sequential design steps can lead to dramatically superior accuracy in estimation of features of interest.

Full work available at URL: https://arxiv.org/abs/1003.0804

zbMATH Keywords

computer experimentsfeature estimation

Mathematics Subject Classification ID

Sequential statistical design (62L05) Applications of mathematical programming (90C90) Applications of statistics to physics (62P35)

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Cited In (3)

• A Sequential Design Approach for Calibrating Dynamic Computer Simulators
• Expected improvement for expensive optimization: a review
• On the choice of the low-dimensional domain for global optimization via random embeddings

Uses Software

• EGO

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