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Conditional optimization of a noisy function using a kriging metamodel

Sambakhe Diariétou, Rouan Lauriane, Bacro Jean-Noël, Gozé Eric. 2019. Conditional optimization of a noisy function using a kriging metamodel. Journal of Global Optimization, 73 (3) : pp. 615-636.

Journal article ; Article de recherche ; Article de revue à facteur d'impact
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Quartile : Q1, Sujet : MATHEMATICS, APPLIED / Quartile : Q3, Sujet : OPERATIONS RESEARCH & MANAGEMENT SCIENCE

Abstract : The efficient global optimization method is popular for the global optimization of computer-intensive black-box functions. Extensions exist, either for the optimization of noisy functions, or for the conditional optimization of deterministic functions, i.e. the search for the values of a subset of parameters that optimize the function conditionally to the values taken by another subset, which are fixed. A metaphor for conditional optimization is the search for a crest line. No method has yet been developed for the conditional optimization of noisy functions: this is what we propose in this article. Testing this new method on test functions showed that, in the case of a high level of noise on the function, the PEQI criterion that we propose is better than the PEI criterion usually implemented in such a situation.

Mots-clés libres : Crest line, Gaussian process, Sampling criterion, Sequential design, Noisy function

Classification Agris : U10 - Computer science, mathematics and statistics
000 - Other themes

Champ stratégique Cirad : CTS 7 (2019-) - Hors champs stratégiques

Auteurs et affiliations

  • Sambakhe Diariétou, CIRAD-PERSYST-UPR AIDA (FRA) - auteur correspondant
  • Rouan Lauriane, CIRAD-BIOS-UMR AGAP (FRA)
  • Bacro Jean-Noël, UM2 (FRA)
  • Gozé Eric, CIRAD-PERSYST-UPR AIDA (FRA) ORCID: 0000-0001-9121-7835

Source : Cirad-Agritrop (https://agritrop.cirad.fr/590403/)

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