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Branch and bound algorithms for maximizing expected improvement functions
Published in Elsevier BV
2011
Volume: 141

Issue: 1
Pages: 42 - 55
Abstract

Deterministic computer simulations are often used as replacement for complex physical experiments. Although less expensive than physical experimentation, computer codes can still be time-consuming to run. An effective strategy for exploring the response surface of the deterministic simulator is the use of an approximation to the computer code, such as a Gaussian process (GP) model, coupled with a sequential sampling strategy for choosing design points that can be used to build the GP model. The ultimate goal of such studies is often the estimation of specific features of interest of the simulator output, such as the maximum, minimum, or a level set (contour). Before approximating such features with the GP model, sufficient runs of the computer simulator must be completed.Sequential designs with an expected improvement (EI) design criterion can yield good estimates of the features with minimal number of runs. The challenge is that the expected improvement function itself is often multimodal and difficult to maximize. We develop branch and bound algorithms for efficiently maximizing the EI function in specific problems, including the simultaneous estimation of a global maximum and minimum, and in the estimation of a contour. These branch and bound algorithms outperform other optimization strategies such as genetic algorithms, and can lead to significantly more accurate estimation of the features of interest. extcopyright 2010 Elsevier B.V.