TY - GEN
T1 - Kriging-based simulation-optimization
T2 - Winter Simulation Conference, WSC 2015
AU - Pedrielli, Giulia
AU - Ng, Szu Hui
PY - 2016/2/16
Y1 - 2016/2/16
N2 - Motivated by our recent extension of the Two-Stage Sequential Algorithm (eTSSO), we propose an adaptation of the framework in Pasupathy et al. (2015) for the study of convergence of kriging-based procedures. Specifically, we extend the proof scheme in Pasupathy et al. (2015) to the class of kriging-based simulation-optimization algorithms. In particular, the asymptotic convergence and the convergence rate of eTSSO are investigated by interpreting the kriging-based search as a stochastic recursion. We show the parallelism between the two paradigms and exploit the deterministic counterpart of eTSSO, the more famous Efficient Global Optimization (EGO) procedure, in order to derive eTSSO structural properties. This work represents a first step towards a general proof framework for the asymptotic convergence and convergence rate analysis of meta-model based simulation-optimization.
AB - Motivated by our recent extension of the Two-Stage Sequential Algorithm (eTSSO), we propose an adaptation of the framework in Pasupathy et al. (2015) for the study of convergence of kriging-based procedures. Specifically, we extend the proof scheme in Pasupathy et al. (2015) to the class of kriging-based simulation-optimization algorithms. In particular, the asymptotic convergence and the convergence rate of eTSSO are investigated by interpreting the kriging-based search as a stochastic recursion. We show the parallelism between the two paradigms and exploit the deterministic counterpart of eTSSO, the more famous Efficient Global Optimization (EGO) procedure, in order to derive eTSSO structural properties. This work represents a first step towards a general proof framework for the asymptotic convergence and convergence rate analysis of meta-model based simulation-optimization.
UR - http://www.scopus.com/inward/record.url?scp=84962869338&partnerID=8YFLogxK
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U2 - 10.1109/WSC.2015.7408540
DO - 10.1109/WSC.2015.7408540
M3 - Conference contribution
AN - SCOPUS:84962869338
T3 - Proceedings - Winter Simulation Conference
SP - 3834
EP - 3845
BT - 2015 Winter Simulation Conference, WSC 2015
PB - Institute of Electrical and Electronics Engineers Inc.
Y2 - 6 December 2015 through 9 December 2015
ER -