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Bayesian optimization: A framework for optimal computational effort for experimental design

Tuesday 19th July 2011 - 17:00 to 17:30
INI Seminar Room 1
DOE on models involving time or space dynamics is often very computationally demanding. Predicting a single experimental outcome may require significant computation, let alone evaluating a design criterion and optimizing it with respect to design parameters. To find the exact optimum of the design criterion would typically take infinite computation, and any finite computation will yield a result possessing some uncertainty (due to approximation of the design criterion as well as stopping the optimization procedure). Ideally, one would like to optimize not only the design criterion, but also the way it is approximated and optimized in order to get the largest likely improvement in the design criterion relative to the computational effort spent. Using a Bayesian method for the optimization of the design criterion (not only for calculating the design criterion) can accomplish such an optimal trade-off between (computational) resources spent planning the experiment and expected gain from carrying it out. This talk will lay out the concepts and theory necessary to perform a fully Bayesian optimization that maximizes the expected improvement of the design criterion in relation the computational effort spent.
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University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons