| Autor: |
Dutrieux, Héloïse, Aleksovska, Ivana, Bect, Julien, Vazquez, Emmanuel, Gauthier, Delille, François, Bruno |
| Rok vydání: |
2015 |
| Předmět: |
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| Zdroj: |
47\`emes Journ\'ees de Statistique de la SFdS (JdS 2015), Jun 2015, Lille, France |
| Druh dokumentu: |
Working Paper |
| Popis: |
We consider the problem of global optimization of a function f from very noisy evaluations. We adopt a Bayesian sequential approach: evaluation points are chosen so as to reduce the uncertainty about the position of the global optimum of f, as measured by the entropy of the corresponding random variable (Informational Approach to Global Optimization, Villemonteix et al., 2009). When evaluations are very noisy, the error coming from the estimation of the entropy using conditional simulations becomes non negligible compared to its variations on the input domain. We propose a solution to this problem by choosing evaluation points as if several evaluations were going to be made at these points. The method is applied to the optimization of a strategy for the integration of renewable energies into an electrical distribution network. |
| Databáze: |
arXiv |
| Externí odkaz: |
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