Multi-fidelity optimization via surrogate modelling

@inproceedings{Forrester2007MultifidelityOV,
  title={Multi-fidelity optimization via surrogate modelling},
  author={Alexander I. J. Forrester and Andras Sobester and Andy J. Keane},
  year={2007}
}
This paper demonstrates the application of correlated Gaussian process based approximations to optimization where multiple levels of analysis are available, using an extension to the geostatistical method of co-kriging. An exchange algorithm is used to choose which points of the search space to sample within each level of analysis. The derivation of the co-kriging equations is presented in an intuitive manner, along with a new variance estimator to account for varying degrees of computational… CONTINUE READING
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