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Blackbox optimization tackles problems where the functions are expensive to evaluate and where no analytical information is available. In this context, a tried and tested technique is to build surrogates of the objective and the constraints in order to conduct the optimization at a cheaper computational cost. This work introduces an extension to a specific type of surrogates: ensembles of surrogates, enabling them to quantify the uncertainty on the predictions they produce. The resulting extended ensembles of surrogates behave as stochastic models and allow the use of efficient Bayesian optimization tools. The method is incorporated in the search step of the mesh adaptive direct search (MADS) algorithm to improve the exploration of the search space. Computational experiments are conducted on seven analytical problems, two multi-disciplinary optimization problems and two simulation problems. The results show that the proposed approach solves expensive simulation-based problems at a greater precision and with a lower computational effort than stochastic models.
相似文献We propose a general framework for solving the group synchronization problem, where we focus on the setting of adversarial or uniform corruption and sufficiently small noise. Specifically, we apply a novel message passing procedure that uses cycle consistency information in order to estimate the corruption levels of group ratios and consequently solve the synchronization problem in our setting. We first explain why the group cycle consistency information is essential for effectively solving group synchronization problems. We then establish exact recovery and linear convergence guarantees for the proposed message passing procedure under a deterministic setting with adversarial corruption. These guarantees hold as long as the ratio of corrupted cycles per edge is bounded by a reasonable constant. We also establish the stability of the proposed procedure to sub-Gaussian noise. We further establish exact recovery with high probability under a common uniform corruption model.
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