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SUMMARY:Optimization: Three Tools and Two Applications
DTSTART:20140919T101500
DTSTAMP:20260407T051136Z
UID:6141e1d3497345bf0a4797023fe92c0b5c1a0f26e288e6787da6a617
CATEGORIES:Conferences - Seminars
DESCRIPTION:Eric Walter\nThe three tools alluded to in the title are  (i)
  Kriging\, (ii) Efficient Global Optimization and (iii) a relaxation proce
 dure for continuous minimax optimization.\nIn its simplest version\, Krigi
 ng is a method for building surrogate models that interpolate multivariate
  results. Kriging comes from mining and geostatistics\, where it appeared 
 around the middle of the last century. It is increasingly being used in in
 dustrial statistics. One of its developers was Georges Matheron\, at the E
 cole des mines de Paris\, who called it krigeage in tribute to the seminal
  role of D.G. Krige\, in South Africa.\nEfficient global optimization (EGO
 ) is a method based on Kriging for minimizing cost functions that are so e
 xpensive to evaluate that the budget for such evaluations is severely limi
 ted. One of the developers of EGO was Don Jones\, at General Motors.\nShim
 izu and Aiyoshi’s procedure for continuous minimax optimization (publish
 ed a long time ago in the IEEE Transactions in Automatic Control) makes it
  possible to find approximate worst-case solutions even when the performan
 ce index can only be evaluated numerically. J. Marzat\, H. Piet-Lahanier a
 nd myself have shown how it can be combined with EGO to get approximate wo
 rst-case solutions in cases where the performance index is very costly to 
 evaluate.\nA natural application of the first two tools is the identificat
 ion/estimation of the parameters of a complex knowledge-based model\, whic
 h will be very briefly presented on a toy example. The robust tuning of th
 e hyperparameters of a fault detection and isolation algorithm on a realis
 tic aerospace test case via the use of the three tools will be presented i
 n some more detail.
LOCATION:ME C2 405 http://plan.epfl.ch/?zoom=20&recenter_y=5864084.17342&r
 ecenter_x=730960.62257&layerNodes=fonds\,batiments\,labels\,information\,p
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STATUS:CONFIRMED
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