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Bayesian Adaptive Reconstruction of Profile Optima and Optimizers
Auteur(s)
Ginsbourger, David
Baccou, Jean
Perales, Frédéric
Garland, Nicolas
Monerie, Yann
Date de parution
2014
In
SIAM/ASA J. Uncertainty Quantification
Vol.
1
No
2
De la page
490
A la page
510
Résumé
Given a function depending both on decision parameters and nuisance variables, we consider the issue of estimating and quantifying uncertainty on profile optima and/or optimal points as functions of the nuisance variables. The proposed methods are based on interpolations of the objective function constructed from a finite set of evaluations. Here the functions of interest are reconstructed relying on a kriging model but also using Gaussian random field conditional simulations that allow a quantification of uncertainties in the Bayesian framework. Besides this, we introduce a variant of the expected improvement criterion, which proves efficient for adaptively learning the set of profile optima and optimizers. The results are illustrated with a toy example and through a physics case study on the optimal packing of polydisperse frictionless spheres.
Identifiants
Type de publication
journal article
