Original title:
On Bayes approach to optimization
Authors:
Volf, Petr Document type: Papers Conference/Event: MME 2014. International Conference Mathematical Methods in Economics /32./, Olomouc (CZ), 2014-09-10 / 2014-09-12
Year:
2014
Language:
eng Abstract:
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.
Keywords:
Bayes method; nonparametric regression.; optimization Project no.: GA13-14445S (CEP) Funding provider: GA ČR Host item entry: Proceedings of 32nd International Conference Mathematical Methods in Economics MME 2014, ISBN 978-80-244-4209-9