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Expected Improvement in Efficient Global Optimization Through Bootstrapped Kriging - Replaced by CentER DP 2011-015

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Author Info

  • Kleijnen, Jack P.C.
  • Beers, W.C.M. van
  • Nieuwenhuyse, I. van

    (Tilburg University, Center for Economic Research)

Abstract

This paper uses a sequentialized experimental design to select simulation input com- binations for global optimization, based on Kriging (also called Gaussian process or spatial correlation modeling); this Kriging is used to analyze the input/output data of the simulation model (computer code). This paper adapts the classic "ex- pected improvement" (EI) in "efficient global optimization" (EGO) through the introduction of an unbiased estimator of the Kriging predictor variance; this estima- tor uses parametric bootstrapping. Classic EI and bootstrapped EI are compared through four popular test functions, including the six-hump camel-back and two Hartmann functions. These empirical results demonstrate that in some applications bootstrapped EI finds the global optimum faster than classic EI does; in general, however, the classic EI may be considered to be a robust global optimizer.

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Bibliographic Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2010-62.

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Date of creation: 2010
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Handle: RePEc:dgr:kubcen:201062

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Web page: http://center.uvt.nl

Related research

Keywords: Simulation; Optimization; Kriging; Bootstrap;

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