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Communication dans un congrès

Noisy expected improvement and on-line computation time allocation for the optimization of simulators with tunable fidelity

Abstract : This article addresses the issue of kriging-based optimization of stochastic simulators. Many of these simulators depends on factors that tune the level of precision of the response, the gain in accuracy being at a price of computational time. The contribution of this work is two-fold: firstly, we propose a quantile-based criterion for the sequential choice of experiments, in the fashion of the classical Expected Improvement criterion, which allows a rigorous treatment of heterogeneous response precisions. Secondly, we present a procedure that allocates on-line the computational time given to each measurement, allowing a better distribution of the computational effort and increased efficiency. Finally, the optimization method is applied to an original application in nuclear criticality safety.
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Communication dans un congrès
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https://hal.inrae.fr/hal-02755955
Déposant : Migration Prodinra <>
Soumis le : mercredi 3 juin 2020 - 22:24:21
Dernière modification le : vendredi 12 juin 2020 - 10:43:26

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  • HAL Id : hal-02755955, version 1
  • PRODINRA : 370082

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Victor Picheny, David Ginsbourger, Yann Richet. Noisy expected improvement and on-line computation time allocation for the optimization of simulators with tunable fidelity. 2nd International Conference on Engineering Optimization, Sep 2010, Lisbonne, Portugal. 10 p. ⟨hal-02755955⟩

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