Global optimization using Sobol indices
Résumé
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.
| Origine | Fichiers produits par l'(les) auteur(s) |
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