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

Victor Picheny (1) , David Ginsbourger (2) , Yann Richet (3)

1 MAS - Mathématiques Appliquées aux Systèmes - EA 4037
2 IMSV - Institute of Mathematical Statistics and Actuarial Science [Bern]
3 IRSN - Institut de Radioprotection et de Sûreté Nucléaire

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.

Keywords: Noisy optimization; Kriging; Tunable fidelity

Domains: Optimization and Control [math.OC]

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-00489321v2⟩