Global Optimization with Sparse and Local Gaussian Process Models

Krityakierne, Tipaluck; Ginsbourger, David (2015). Global Optimization with Sparse and Local Gaussian Process Models. In: Pardalos, Panos; Pavone, Mario; Farinella, Giovanni Maria; Cutello, Vincenzo (eds.) Machine Learning, Optimization, and Big Data. Lecture Notes in Computer Science: Vol. 9432 (pp. 185-196). Cham: Springer 10.1007/978-3-319-27926-8_16

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We present a novel surrogate model-based global optimization framework allowing a large number of function evaluations. The method, called SpLEGO, is based on a multi-scale expected improvement (EI) framework relying on both sparse and local Gaussian process (GP) models. First, a bi-objective approach relying on a global sparse GP model is used to determine potential next sampling regions. Local GP models are then constructed within each selected region. The method subsequently employs the standard expected improvement criterion to deal with the exploration-exploitation trade-off within selected local models, leading to a decision on where to perform the next function evaluation(s). The potential of our approach is demonstrated using the so-called Sparse Pseudo-input GP as a global model. The algorithm is tested on four benchmark problems, whose number of starting points ranges from 102 to 104. Our results show that SpLEGO is effective and capable of solving problems with large number of starting points, and it even provides significant advantages when compared with state-of-the-art EI algorithms.

Item Type:

Book Section (Book Chapter)

Division/Institute:

08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science

UniBE Contributor:

Krityakierne, Tipaluck and Ginsbourger, David

Subjects:

500 Science > 510 Mathematics

ISBN:

978-3-319-27925-1

Series:

Lecture Notes in Computer Science

Publisher:

Springer

Language:

English

Submitter:

Lutz Dümbgen

Date Deposited:

07 Apr 2016 10:58

Last Modified:

07 Apr 2016 10:58

Publisher DOI:

10.1007/978-3-319-27926-8_16

BORIS DOI:

10.7892/boris.78712

URI:

https://boris.unibe.ch/id/eprint/78712

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