Prochainement

Jeudi 27 mai 14:00-15:00 Perrine Lacroix (LMO)
GT Celeste

Jeudi 24 juin 14:00-15:00 Christine Keribin (LMO)
GT Celeste

Passés

Jeudi 25 mars 14:00-15:00 Alexandre Janon  (LMO)
Global optimization using Sobol indices

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Lieu : online

Résumé : We propose and assess a new global (derivative-free) optimization algorithm, inspired by the LIPO algorithm, which uses variance-based sensitivity analysis (Sobol indices) to reduce the number of calls to the objective function. This method should be efficient to optimize costly functions satisfying the sparsity-of-effects principle.

Global optimization using Sobol indices  Version PDF