Academy of Mathematics and Systems Science, CAS
Colloquia & Seminars

Speaker:	申小桐，北京建筑大学
Inviter:	熊世峰
Title:	Implementation of personalized optimization via the HEI algorithm
Language:	Chinese
Time & Venue:	2022.12.22 20:00-20:45 腾讯会议:940-262-080
Abstract:	Unlike traditional robust optimization, personalized optimization aims to find the values of control variables that yield the optimal value of the objective function for given values of environmental variables. Therefore, the solution from personalized optimization, which consists of optimal surfaces defined on the domain of environmental variables, is more reasonable and better than that from robust optimization when the environmental variables can be observed or measured. The implementation of personalized optimization for expensive black-box computer models is discussed. Based on statistical modeling of computer experiments, we provide a hierarchical expectation improvement (HEI) algorithm to sequentially design input values for approximating the optimal surfaces. Numerical examples including a real application show the effectiveness of our algorithms.