Parallel expected improvements for global optimization: summary, bounds and speed-up

Abstract : The sequential sampling strategies based on Gaussian processes are widely used for optimization of time consuming simulators. In practice, such computationally demanding problems are solved by increasing number of processing units. This has therefore induced extensions of sampling criteria which consider the framework of parallel calculation. This report further studies expected improvement criteria for parallel and asynchronous computations. A unified parallel asynchronous expected improvement criterion is formulated. Bounds and strategies for comparing criteria values at various design points are discussed. Finally, the impact of the number of available computing units on the performance is empirically investigated.
Type de document :
Rapport
2011
Liste complète des métadonnées

Littérature citée [13 références]  Voir  Masquer  Télécharger

https://hal.archives-ouvertes.fr/hal-00613971
Contributeur : Janis Janusevskis <>
Soumis le : lundi 8 août 2011 - 12:35:27
Dernière modification le : mardi 23 octobre 2018 - 14:36:08
Document(s) archivé(s) le : lundi 12 novembre 2012 - 15:15:17

Fichier

TechReportASyncrEIfinal_v4.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-00613971, version 1

Citation

Janis Janusevskis, Rodolphe Le Riche, David Ginsbourger. Parallel expected improvements for global optimization: summary, bounds and speed-up. 2011. 〈hal-00613971〉

Partager

Métriques

Consultations de la notice

378

Téléchargements de fichiers

260