Expected Improvements for the Asynchronous Parallel Global Optimization of Expensive Functions: Potentials and Challenges

  • Janis Janusevskis
  • Rodolphe Le Riche
  • David Ginsbourger
  • Ramunas Girdziusas
Part of the Lecture Notes in Computer Science book series (LNCS, volume 7219)

Abstract

Sequential sampling strategies based on Gaussian processes are now widely used for the optimization of problems involving costly simulations. But Gaussian processes can also generate parallel optimization strategies. We focus here on a new, parameter free, parallel expected improvement criterion for asynchronous optimization. An estimation of the criterion, which mixes Monte Carlo sampling and analytical bounds, is proposed. Logarithmic speed-ups are measured on 1 and 9 dimensional functions.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  • Janis Janusevskis
    • 1
  • Rodolphe Le Riche
    • 1
    • 2
  • David Ginsbourger
    • 3
  • Ramunas Girdziusas
    • 1
  1. 1.Ecole des Mines de Saint-EtienneSaint-EtienneFrance
  2. 2.CNRS, UMR 5146 Cl.GouxFrance
  3. 3.Departement of Mathematics and StatisticsUniversity of BernSwitzerland

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