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arXiv 1603.09620cs.LGmath.OCstat.ML
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使用随机傅立叶展开的高成本和噪声测量的在线优化

Online Optimization with Costly and Noisy Measurements using Random Fourier Expansions

Delft University of Technology(代尔夫特理工大学)

Laurens Bliek, Hans R. G. W. Verstraete, Michel Verhaegen, Sander Wahls

摘要:

本文分析了DONE,在线优化算法,迭代最小化一个未知的功能的基础上昂贵和嘈杂的测量。该算法以随机傅立叶展开(RFE)的形式维护未知函数的代理。每当有新的测量值可用时,替代值就会更新,然后用于确定下一个测量点。该算法与贝叶斯优化算法相当,但其每次迭代的计算复杂性不依赖于测量的数量。我们得出了几个理论结果,提供洞察力的超参数的算法应该如何选择。该算法相比,贝叶斯优化算法的基准问题和三个应用程序,即,光学相干断层扫描,光学波束形成网络调整,和机器人手臂控制。结果发现,DONE算法是明显快于贝叶斯优化在讨论的问题,同时实现类似或更好的性能。

英文摘要:

This paper analyzes DONE, an online optimization algorithm that iteratively minimizes an unknown function based on costly and noisy measurements. The algorithm maintains a surrogate of the unknown function in the form of a random Fourier expansion (RFE). The surrogate is updated whenever a new measurement is available, and then used to determine the next measurement point. The algorithm is comparable to Bayesian optimization algorithms, but its computational complexity per iteration does not depend on the number of measurements. We derive several theoretical results that provide insight on how the hyper-parameters of the algorithm should be chosen. The algorithm is compared to a Bayesian optimization algorithm for a benchmark problem and three applications, namely, optical coherence tomography, optical beam-forming network tuning, and robot arm control. It is found that the DONE algorithm is significantly faster than Bayesian optimization in the discussed problems, while achieving a similar or better performance.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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