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Entropy 2018, 20(8), 594; https://doi.org/10.3390/e20080594

Bayesian Optimization Based on K-Optimality

College of Liberal Arts and Sciences, National University of Defense Technology, Changsha 410000, China
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Received: 11 July 2018 / Revised: 4 August 2018 / Accepted: 8 August 2018 / Published: 9 August 2018
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Abstract

Bayesian optimization (BO) based on the Gaussian process (GP) surrogate model has attracted extensive attention in the field of optimization and design of experiments (DoE). It usually faces two problems: the unstable GP prediction due to the ill-conditioned Gram matrix of the kernel and the difficulty of determining the trade-off parameter between exploitation and exploration. To solve these problems, we investigate the K-optimality, aiming at minimizing the condition number. Firstly, the Sequentially Bayesian K-optimal design (SBKO) is proposed to ensure the stability of the GP prediction, where the K-optimality is given as the acquisition function. We show that the SBKO reduces the integrated posterior variance and maximizes the hyper-parameters’ information gain simultaneously. Secondly, a K-optimal enhanced Bayesian Optimization (KO-BO) approach is given for the optimization problems, where the K-optimality is used to define the trade-off balance parameters which can be output automatically. Specifically, we focus our study on the K-optimal enhanced Expected Improvement algorithm (KO-EI). Numerical examples show that the SBKO generally outperforms the Monte Carlo, Latin hypercube sampling, and sequential DoE approaches by maximizing the posterior variance with the highest precision of prediction. Furthermore, the study of the optimization problem shows that the KO-EI method beats the classical EI method due to its higher convergence rate and smaller variance. View Full-Text
Keywords: design of experiments; K-optimal design; gaussian processes; bayesian optimization design of experiments; K-optimal design; gaussian processes; bayesian optimization
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Yan, L.; Duan, X.; Liu, B.; Xu, J. Bayesian Optimization Based on K-Optimality. Entropy 2018, 20, 594.

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