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arXiv 2012.05591stat.ME
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高效的聚类与优化上下文依赖设计学习

Efficient Learning for Clustering and Optimizing Context-Dependent Designs

Peking University(北京大学);Columbia University(哥伦比亚大学)

Haidong Li, Henry Lam, Yijie Peng

AI总结:

本文提出了一种基于高斯混合模型的动态采样策略,用于高效学习上下文依赖设计的全局和局部信息,以提高模拟优化效率。

摘要:

我们考虑了一个上下文依赖决策的模拟优化问题。提出了一种高斯混合模型来捕捉上下文依赖设计的性能聚类现象。在贝叶斯框架下,我们开发了一种动态采样策略,以高效地学习每个聚类的全局信息和每个设计的局部信息,从而在所有上下文中选择最佳设计。所提出的采样策略被证明是一致的,并实现了渐近最优的采样比率。数值实验表明,所提出的采样策略显著提高了上下文依赖模拟优化的效率。

英文摘要:

We consider a simulation optimization problem for a context-dependent decision-making. A Gaussian mixture model is proposed to capture the performance clustering phenomena of context-dependent designs. Under a Bayesian framework, we develop a dynamic sampling policy to efficiently learn both the global information of each cluster and local information of each design for selecting the best designs in all contexts. The proposed sampling policy is proved to be consistent and achieve the asymptotically optimal sampling ratio. Numerical experiments show that the proposed sampling policy significantly improves the efficiency in context-dependent simulation optimization.

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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