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Pré-Publication, Document De Travail Année : 2010

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

Résumé

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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Dates et versions

hal-00489321 , version 1 (04-06-2010)
hal-00489321 , version 2 (22-06-2010)

Identifiants

  • HAL Id : hal-00489321 , version 1

Citer

Victor Picheny, David Ginsbourger, Yann Richet. Noisy Expected Improvement and on-line computation time allocation for the optimization of simulators with tunable fidelity. 2010. ⟨hal-00489321v1⟩
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