Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Differentiating the multipoint Expected Improvement for optimal batch
  design   This work deals with parallel optimization of expensive objective functions
which are modeled as sample realizations of Gaussian processes. The study is
formalized as a Bayesian optimization problem, or continuous multi-armed bandit
problem, where a batch of q > 0 arms is pulled in parallel at each iteration.
Several algorithms have been developed for choosing batches by trading off
exploitation and exploration. As of today, the maximum Expected Improvement
(EI) and Upper Confidence Bound (UCB) selection rules appear as the most
prominent approaches for batch selection. Here, we build upon recent work on
the multipoint Expected Improvement criterion, for which an analytic expansion
relying on Tallis' formula was recently established. The computational burden
of this selection rule being still an issue in application, we derive a
closed-form expression for the gradient of the multipoint Expected Improvement,
which aims at facilitating its maximization using gradient-based ascent
algorithms. Substantial computational savings are shown in application. In
addition, our algorithms are tested numerically and compared to
state-of-the-art UCB-based batch-sequential algorithms. Combining starting
designs relying on UCB with gradient-based EI local optimization finally
appears as a sound option for batch design in distributed Gaussian Process
optimization.

22
The categories of this paper are: chao-dyn
0
The categories of this paper are: hep-ph
10
The categories of this paper are: q-bio
1
The categories of this paper are: cs
24
The categories of this paper are: dg-ga
15
The categories of this paper are: nucl-ex
23
The categories of this paper are: solv-int
6
The categories of this paper are: astro-ph
29
The categories of this paper are: funct-an
20
The categories of this paper are: acc-phys
35
The categories of this paper are: mtrl-th
36
The categories of this paper are: cmp-lg
11
The categories of this paper are: hep-lat
27
The categories of this paper are: comp-gas
21
The categories of this paper are: adap-org
9
The categories of this paper are: nlin