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Global optimization using Sobol indices


We propose and assess a new global (derivative-free) optimization algorithm, inspired by the LIPO algorithm, which uses variance-based sensitivity analysis (Sobol indices) to reduce the number of calls to the objective function. This method should be efficient to optimize costly functions satisfying the sparsity-of-effects principle.
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hal-02154121 , version 1 (12-06-2019)


  • HAL Id : hal-02154121 , version 1


Alexandre Janon. Global optimization using Sobol indices. 2019. ⟨hal-02154121⟩
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