Expected improvements for the asynchronous parallel global optimization of expensive functions: Potentials and challenges

Abstract

Sequential sampling strategies based on Gaussian processes are now widely used for the optimization of problems involving costly simulations. But Gaussian processes can also generate parallel optimization strategies. We focus here on a new, parameter free, parallel expected improvement criterion for asynchronous optimization. An estimation of the criterion, which mixes Monte Carlo sampling and analytical bounds, is proposed. Logarithmic speed-ups are measured on 1 and 9 dimensional functions. © 2012 Springer-Verlag.