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Noisy Expected Improvement and On-line Computation Time Allocation for the Optimization of Simulators with Tunable Fidelity


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2nd International Conference on Engineering Optimization, EngOpt 2010
September 6-9, 2010, Lisbon, Portugal

Type de document > *Congrès/colloque

Mots clés >

Unité de recherche > IRSN/DSU/SEC/LERD

Auteurs > GINSBOURGER David, RICHET Yann, PICHENY Victor

Date de publication > 23/06/2010

Résumé

This article addresses the issue of kriging-based optimization of stochastic simulators. Many of these simulators depends on factors that tune the level of precision of the response, the gain in accuracy being at a price of computational time. The contribution of this work is two-fold: firstly, we propose a quantile-based criterion for the sequential choice of experiments, in the fashion of the classical Expected Improvement criterion, which allows a rigorous treatment of heterogeneous response precisions. Secondly, we present a procedure that allocates on-line the computational time given to each measurement, allowing a better distribution of the computational effort and increased efficiency. Finally, the optimization method is applied to an original application in nuclear criticality safety.