Global optimization using Sobol indices

Alexandre Janon 1, 2, 3
Abstract : 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.
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https://hal.archives-ouvertes.fr/hal-02154121
Contributor : Alexandre Janon <>
Submitted on : Wednesday, June 12, 2019 - 5:07:01 PM
Last modification on : Sunday, June 16, 2019 - 1:08:32 PM

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Alexandre Janon. Global optimization using Sobol indices. 2019. ⟨hal-02154121⟩

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