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Comment- On Advances in Expected Improvement

Summary: Statistical optimization is a budding area. One could argue that conventional, non-statistical, optimization techniques have struggled to port success in local optimization strategies, which leverage derivative and derivative-like information, to global search. Expected improvement (EI) heuristics (e.g., Jones, Schonlau, and Welch 1998) on statistical response surface models (RSMs), by contrast, tackle the global problem head-on and enjoy nice convergence properties under prima facie reasonable regularity conditions.

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  • Topics: Engineering
  • Keywords: Stochastic models, Kriging, Noise, Precision, Accuracy and precision, Design of experiments (DOE), Statistical experimental design (SED), Monte Carlo methods, Statistical methods
  • Author: Gramacy, Robert B.
  • Journal: Technometrics