Název:
On Bayes approach to optimization
Autoři:
Volf, Petr Typ dokumentu: Příspěvky z konference Konference/Akce: MME 2014. International Conference Mathematical Methods in Economics /32./, Olomouc (CZ), 2014-09-10 / 2014-09-12
Rok:
2014
Jazyk:
eng
Abstrakt: In many real optimization problems we have not full information on the objective function and can afford to evaluate it at just a few points. Then, certain assumptions on the objective function must be done. This could be taken as a prior information in a Bayes scheme. The Bayes approach to optimization then offers the way of effective search for the extremal point. We describe the technique how to mapproach the optimum using the Gauss process or a regression-like models.
Klíčová slova:
Bayes method; nonparametric regression.; optimization Číslo projektu: GA13-14445S (CEP) Poskytovatel projektu: GA ČR Zdrojový dokument: Proceedings of 32nd International Conference Mathematical Methods in Economics MME 2014, ISBN 978-80-244-4209-9