Related papers: Combined Global and Local Search for Optimization …
We study the application of dynamic pricing to insurance. We view this as an online revenue management problem where the insurance company looks to set prices to optimize the long-run revenue from selling a new insurance product. We develop…
Optimization methods are essential in solving complex problems across various domains. In this research paper, we introduce a novel optimization method called Gaussian Crunching Search (GCS). Inspired by the behaviour of particles in a…
Combinatorial optimization problems are encountered in many practical contexts such as logistics and production, but exact solutions are particularly difficult to find and usually NP-hard for considerable problem sizes. To compute…
Bayesian optimization (BO) is a powerful framework for optimizing expensive black-box objectives, yet extending it to graph-structured domains remains challenging due to the discrete and combinatorial nature of graphs. Existing approaches…
Gaussian process (GP) regression is a powerful probabilistic modeling technique with built-in uncertainty quantification. When one has access to multiple correlated simulations (tasks), it is common to fit a multitask GP (MTGP) surrogate…
Bayesian optimization is an effective methodology for the global optimization of functions with expensive evaluations. It relies on querying a distribution over functions defined by a relatively cheap surrogate model. An accurate model for…
Gaussian Process (GP) models provide a flexible framework for prediction and uncertainty quantification. For most covariance functions, however, exact GP prediction with $n$ points scales as $\mathcal{O}(n^3)$, making it prohibitively…
Many functions have approximately-known upper and/or lower bounds, potentially aiding the modeling of such functions. In this paper, we introduce Gaussian process models for functions where such bounds are (approximately) known. More…
Collecting operationally realistic data to inform machine learning models can be costly. Before collecting new data, it is helpful to understand where a model is deficient. For example, object detectors trained on images of rare objects may…
One obstacle to the use of Gaussian processes (GPs) in large-scale problems, and as a component in deep learning system, is the need for bespoke derivations and implementations for small variations in the model or inference. In order to…
In this paper, we propose \texttt{FGPR}: a Federated Gaussian process ($\mathcal{GP}$) regression framework that uses an averaging strategy for model aggregation and stochastic gradient descent for local client computations. Notably, the…
Most Probable Explanation (MPE) inference in Probabilistic Graphical Models (PGMs) is a fundamental yet computationally challenging problem arising in domains such as diagnosis, planning, and structured prediction. In many practical…
This paper introduces Chance Constrained Gaussian Process-Motion Planning (CCGP-MP), a motion planning algorithm for robotic systems under motion and state estimate uncertainties. The paper's key idea is to capture the variations in the…
Bayesian optimization (BO) is a sequential approach for optimizing black-box objective functions using zeroth-order noisy observations. In BO, Gaussian processes (GPs) are employed as probabilistic surrogate models to estimate the objective…
In this paper, we analyze a generic algorithm scheme for sequential global optimization using Gaussian processes. The upper bounds we derive on the cumulative regret for this generic algorithm improve by an exponential factor the previously…
Gaussian Process (GP) models are often used as mathematical approximations of computationally expensive experiments. Provided that its kernel is suitably chosen and that enough data is available to obtain a reasonable fit of the simulator,…
As a non-parametric Bayesian model which produces informative predictive distribution, Gaussian process (GP) has been widely used in various fields, like regression, classification and optimization. The cubic complexity of standard GP…
Local search plays a central role in many effective heuristic algorithms for the vehicle routing problem (VRP) and its variants. However, neighborhood exploration is known to be computationally expensive and time consuming, especially for…
In this paper, a new sequential surrogate-based optimization (SSBO) algorithm is developed, which aims to improve the global search ability and local search efficiency for the global optimization of expensive black-box models. The proposed…
Bayesian optimization (BO) has well-documented merits for optimizing black-box functions with an expensive evaluation cost. Such functions emerge in applications as diverse as hyperparameter tuning, drug discovery, and robotics. BO hinges…