9 citations · 12 across the 3 of their papers we have counts for
3 papers
Bayesian Quantile and Expectile Optimisation
Victor Picheny, Henry Moss, Léonard Torossian +1
Bayesian optimisation (BO) is widely used to optimise stochastic black box functions. While most BO approaches focus on optimising conditional expectations, many applications requi…
X-Armed Bandits: Optimizing Quantiles, CVaR and Other Risks
Léonard Torossian, Aurélien Garivier, Victor Picheny
We propose and analyze StoROO, an algorithm for risk optimization on stochastic black-box functions derived from StoOO. Motivated by risk-averse decision making fields like agricul…
A Review on Quantile Regression for Stochastic Computer Experiments
Léonard Torossian, Victor Picheny, Robert Faivre +1
We report on an empirical study of the main strategies for quantile regression in the context of stochastic computer experiments. To ensure adequate diversity, six metamodels are p…