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Pré-Publication, Document De Travail Année : 2012

Fast computation of the multipoint Expected Improvement with applications in batch selection

Résumé

The Multipoint Expected Improvement criterion (or q-EI) has recently been studied in batch-sequential Bayesian Optimization. This paper deals with the new way of computing q-EI, without usingMonte-Carlo simulations, through a new closed form formula. The latter allows a very fast computation of q-EI for reasonably low values of q (typically, less than 10). New parallel kriging-based optimization strategies, tested on a 6-dimensional toy example, show promising results.
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Dates et versions

hal-00732512 , version 1 (14-09-2012)
hal-00732512 , version 2 (12-10-2012)

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  • HAL Id : hal-00732512 , version 1

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Clément Chevalier, David Ginsbourger. Fast computation of the multipoint Expected Improvement with applications in batch selection. 2012. ⟨hal-00732512v1⟩
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