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math.OC2020
Recursive Two-Step Lookahead Expected Payoff for Time-Dependent Bayesian Optimization
S. Ashwin Renganathan, Jeffrey Larson, Stefan Wild
We propose a novel Bayesian method to solve the maximization of a time-dependent expensive-to-evaluate oracle. We are interested in the decision that maximizes the oracle at a fini…
math.OC2019
Derivative-free optimization methods
Jeffrey Larson, Matt Menickelly, Stefan M. Wild
In many optimization problems arising from scientific, engineering and artificial intelligence applications, objective and constraint functions are available only as the output of…