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In this paper, we propose and analyze a trust-region model-based algorithm for solving unconstrained stochastic optimization problems. Our framework utilizes random models of an objective function $f(x)$, obtained from stochastic…

Logistic models are studied as a tool to convert output from numerical weather forecasting systems (deterministic and ensemble) into probability forecasts for binary events. A logistic model obtains by putting the logarithmic odds ratio…

This paper formed part of a preliminary research report for a risk consultancy and academic research. Stochastic Programming models provide a powerful paradigm for decision making under uncertainty. In these models the uncertainties are…

Bayesian optimization (BO) iteratively fits a Gaussian process (GP) surrogate to accumulated evaluations and selects new queries via an acquisition function such as expected improvement (EI). In practice, BO often concentrates evaluations…

Modern generative AI models, such as diffusion and flow matching models, can sample from rich data distributions. However, many applications, especially in science and engineering, require more than drawing samples from the model…

The long runtime associated with simulating multidisciplinary systems challenges the use of Bayesian optimization for multidisciplinary design optimization (MDO). This is particularly the case if the coupled system is modeled in a…

Many state-of-the-art hyperparameter optimization (HPO) algorithms rely on model-based optimizers that learn surrogate models of the target function to guide the search. Gaussian processes are the de facto surrogate model due to their…

A widely used heuristic for solving stochastic optimization problems is to use a deterministic rolling horizon procedure, which has been modified to handle uncertainty (e.g. buffer stocks, schedule slack). This approach has been criticized…

We develop and analyze a method for stochastic simulation optimization based on Gaussian process models within a trust-region framework. We focus on settings where the variance of the objective function is large, making accurate estimation…

Nonlinear model predictive control (NMPC) is one of the few control methods that can handle multivariable nonlinear controlsystems with constraints. Gaussian processes (GPs) present a powerful tool to identify the required plant model and…

Bayesian Optimization (BO) has been widely applied to optimize expensive black-box functions while retaining sample efficiency. However, scaling BO to high-dimensional spaces remains challenging. Existing literature proposes performing…

The idea of iterative process optimization based on collected output measurements, or "real-time optimization" (RTO), has gained much prominence in recent decades, with many RTO algorithms being proposed, researched, and developed. While…

Nonlinear model predictive control (NMPC) is an efficient approach for the control of nonlinear multivariable dynamic systems with constraints, which however requires an accurate plant model. Plant models can often be determined from first…

A great deal of research has been conducted in the consideration of meta-heuristic optimisation methods that are able to find global optima in settings that gradient based optimisers have traditionally struggled. Of these, so-called…

Particle swarm optimization (PSO) is a search algorithm based on stochastic and population-based adaptive optimization. In this paper, a pathfinding strategy is proposed to improve the efficiency of path planning for a broad range of…

There is an abundance of prior research on the optimization of production systems, but there is a research gap when it comes to optimizing which components should be included in a design, and how they should be connected. To overcome this…

The predict-then-optimize (PTO) framework is a standard approach in data-driven decision-making, where a decision-maker first estimates an unknown parameter from historical data and then uses this estimate to solve an optimization problem.…

Single-cell RNA sequencing provides insights into gene expression at single-cell resolution, yet inferring temporal processes from these static snapshot measurements remains a fundamental challenge. Current approaches utilizing neural…

Bayesian hyperparameter optimization relies heavily on Gaussian Process (GP) surrogates, due to robust distributional posteriors and strong performance on limited training samples. GPs however underperform in categorical hyperparameter…

This paper presents an adaptive sampling algorithm tailored for the optimization of parametrized dynamical systems using projection-based model order reduction. Unlike classical sampling strategies, this framework does not aim for a small…