Abstract
Black-box optimization problems when the input space is a high-dimensional space or a function space appear in more and more applications. In this context, the methods available for finite-dimensional data do not apply. The aim is then to propose a general method for optimization involving dimension reduction techniques. Different dimension reduction basis are considered (including data-driven basis). The methodology is illustrated on simulated functional data. The choice of the different parameters, in particular the dimension of the approximation space, is discussed. The method is finally applied to a problem of nuclear safety.
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Notes
French Alternative Energies and Atomic Energy Commission (Commissariat à l’énergie atomique et aux énergies alternatives), government-funded technological research organisation. http://www.cea.fr/.
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Roche, A. Local optimization of black-box functions with high or infinite-dimensional inputs: application to nuclear safety. Comput Stat 33, 467–485 (2018). https://doi.org/10.1007/s00180-017-0751-1
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DOI: https://doi.org/10.1007/s00180-017-0751-1