TY - GEN
T1 - Scalable objective-driven batch sampling in simulation-based design for models with heteroscedastic noise
AU - Van Beek, Anton
AU - Ghumman, Umar Farooq
AU - Munshi, Joydeep
AU - Tao, Siyu
AU - Chien, Teyu
AU - Balasubramanian, Ganesh
AU - Plumlee, Matthew
AU - Apley, Daniel
AU - Chen, Wei
N1 - Publisher Copyright:
Copyright © 2020 ASME.
PY - 2020
Y1 - 2020
N2 - Objective-driven adaptive sampling is a widely used tool for the optimization of deterministic black-box functions. However, the optimization of stochastic simulation models as found in the engineering, biological, and social sciences is still an elusive task. In this work, we propose a scalable adaptive batch sampling scheme for the optimization of stochastic simulation models with input-dependent noise. The developed algorithm has two primary advantages: (i) by recommending sampling batches, the designer can benefit from parallel computing capabilities, and (ii) by replicating of previously observed sampling locations the method can be scaled to higher-dimensional and more noisy functions. Replication improves numerical tractability as the computational cost of Bayesian optimization methods is known to grow cubicly with the number of unique sampling locations. Deciding when to replicate and when to explore depends on what alternative minimizes the posterior prediction accuracy at and around the spatial locations expected to contain the global optimum. The algorithm explores a new sampling location to reduce the interpolation uncertainty and replicates to improve the accuracy of the mean prediction at a single sampling location. Through the application of the proposed sampling scheme to two numerical test functions and one real engineering problem, we show that we can reliably and efficiently find the global optimum of stochastic simulation models with input-dependent noise.
AB - Objective-driven adaptive sampling is a widely used tool for the optimization of deterministic black-box functions. However, the optimization of stochastic simulation models as found in the engineering, biological, and social sciences is still an elusive task. In this work, we propose a scalable adaptive batch sampling scheme for the optimization of stochastic simulation models with input-dependent noise. The developed algorithm has two primary advantages: (i) by recommending sampling batches, the designer can benefit from parallel computing capabilities, and (ii) by replicating of previously observed sampling locations the method can be scaled to higher-dimensional and more noisy functions. Replication improves numerical tractability as the computational cost of Bayesian optimization methods is known to grow cubicly with the number of unique sampling locations. Deciding when to replicate and when to explore depends on what alternative minimizes the posterior prediction accuracy at and around the spatial locations expected to contain the global optimum. The algorithm explores a new sampling location to reduce the interpolation uncertainty and replicates to improve the accuracy of the mean prediction at a single sampling location. Through the application of the proposed sampling scheme to two numerical test functions and one real engineering problem, we show that we can reliably and efficiently find the global optimum of stochastic simulation models with input-dependent noise.
UR - http://www.scopus.com/inward/record.url?scp=85096299180&partnerID=8YFLogxK
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U2 - 10.1115/DETC2020-22629
DO - 10.1115/DETC2020-22629
M3 - Conference contribution
AN - SCOPUS:85096299180
T3 - Proceedings of the ASME Design Engineering Technical Conference
BT - 46th Design Automation Conference (DAC)
PB - American Society of Mechanical Engineers (ASME)
T2 - ASME 2020 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference, IDETC-CIE 2020
Y2 - 17 August 2020 through 19 August 2020
ER -