Bayesian Optimization of Expected Quadratic Loss for Multiresponse Computer Experiments with Internal Noise

DOI10.1137/19M1272676zbMath1448.62124OpenAlexW3047247240MaRDI QIDQ5119634

Matthias Hwai Yong Tan

Publication date: 31 August 2020

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/19m1272676

zbMATH Keywords

characteristic functionexpected improvementBayesian optimizationexpected quadratic loss

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Gaussian processes (60G15) Bayesian problems; characterization of Bayes procedures (62C10) General nonlinear regression (62J02) Nonconvex programming, global optimization (90C26) Applications of functional analysis in probability theory and statistics (46N30) Robust parameter designs (62K25)

Uses Software

• EGO

Cites Work

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