Sequential Optimization in Locally Important Dimensions

@article{Winkel2018SequentialOI,
  title={Sequential Optimization in Locally Important Dimensions},
  author={Munir A. Winkel and Jonathan W. Stallrich and C. Storlie and B. Reich},
  journal={Technometrics},
  year={2018},
  volume={63},
  pages={236 - 248}
}
Abstract Optimizing an expensive, black-box function is challenging when its input space is high-dimensional. Sequential design frameworks first model with a surrogate function and then optimize an acquisition function to determine input settings to evaluate next. Optimization of both and the acquisition function benefit from effective dimension reduction. Global variable selection detects and removes input variables that do not affect across the input space. Further dimension reduction may be… Expand

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