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

Abstract : 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.
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https://hal.archives-ouvertes.fr/hal-00489321
Contributor : Victor Picheny Connect in order to contact the contributor
Submitted on : Tuesday, June 22, 2010 - 2:20:25 PM
Last modification on : Wednesday, April 8, 2020 - 3:50:32 PM
Long-term archiving on: : Thursday, September 23, 2010 - 12:49:42 PM

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  • HAL Id : hal-00489321, version 2

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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⟩

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