Expected Improvement in Efficient Global Optimization Through Bootstrapped Kriging - Replaces CentER DP 2010-62

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

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Abstract

This article 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 design and analysis adapt the clas- sic "expected improvement" (EI) in "efficient global optimization" (EGO) through the introduction of an unbiased estimator of the Kriging predictor variance; this estimator uses parametric bootstrapping. Classic EI and bootstrapped EI are com- pared through various test functions, including the six-hump camel-back and several 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.
Original languageEnglish
Place of PublicationTilburg
PublisherInformation Management
Volume2011-015
Publication statusPublished - 2011

Publication series

NameCentER Discussion Paper
Volume2011-015

Keywords

  • Simulation
  • Optimization
  • Kriging
  • Bootstrap

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    Kleijnen, J. P. C., van Beers, W. C. M., & van Nieuwenhuyse, I. (2011). Expected Improvement in Efficient Global Optimization Through Bootstrapped Kriging - Replaces CentER DP 2010-62. (CentER Discussion Paper; Vol. 2011-015). Information Management.