资源描述：
《optimization under unknown constraints》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。
1、OptimizationUnderUnknownConstraints*UniversityPressScholarshipOnlineOxfordScholarshipOnlineBayesianStatistics9JoséM.Bernardo,M.J.Bayarri,JamesO.Berger,A.P.Dawid,DavidHeckerman,AdrianF.M.Smith,andMikeWestPrintpublicationdate:2011PrintISBN-13:9780199694587PublishedtoOxfordScholarshipOnline:Ja
2、nuary2012DOI:10.1093/acprof:oso/9780199694587.001.0001OptimizationUnderUnknownConstraints*RobertB.GramacyHerbertK.H.LeeDOI:10.1093/acprof:oso/9780199694587.003.0008AbstractandKeywordsOptimizationofcomplexfunctions,suchastheoutputofcomputersimulators,isadifficulttaskthathasreceivedmuchattent
3、ionintheliterature.Alessstudiedproblemisthatofoptimizationunderunknownconstraints,i.e.,whenthesimulatormustbeinvokedbothtodeterminethetypicalreal‐valuedresponseandtodetermineifaconstrainthasbeenviolated,eitherforphysicalorpolicyreasons.WedevelopastatisticalapproachbasedonGaussianprocessesan
4、dBayesianlearningtobothapproximatetheunknownfunctionandestimatetheprobabilityofmeetingtheconstraints.Anewintegratedimprovementcriterionisproposedtorecognizethatresponsesfrominputsthatviolatetheconstraintmaystillbeinformativeaboutthefunction,andthuscouldpotentiallybeusefulintheoptimization.T
5、henewcriterionisillustratedonsyntheticdata,andonamotivatingoptimizationproblemfromhealthcarepolicy.Page1of31OptimizationUnderUnknownConstraints*Keywords:ConstrainedOptimization,SurrogateModel,GaussianProcess,SequentialDesign,ExpectedImprovementSummaryOptimizationofcomplexfunctions,suchasthe
6、outputofcomputersimulators,isadifficulttaskthathasreceivedmuchattentionintheliterature.Alessstudiedproblemisthatofoptimizationunderunknownconstraints,i.e.,whenthesimulatormustbeinvokedbothtodeterminethetypicalreal‐valuedresponseandtodetermineifaconstrainthasbeenviolated,eitherforphysicalorp
7、olicyreasons.WedevelopastatisticalapproachbasedonGaussianprocessesandBayesianlearningtobothapproximatetheunknownfunctionandestimatetheprobabilityofmeetingtheconstraints.Anewintegratedimprovementcriterionisproposedtorecognizethatresponsesfrominputsthatvio
