Bayesian Adaptive Reconstruction of Profile Optima and Optimizers

International audienceGiven a function depending both on decision parameters and nuisance variables, we consider the issue of estimating and quantifying uncertainty on profile optima and/or optimal points as functions of the nuisance variables. The proposed methods are based on interpolations of the objective function constructed from a finite set of evaluations. Here the functions of interest are reconstructed relying on a kriging model but also using Gaussian random field conditional simulations that allow a quantification of uncertainties in the Bayesian framework. Besides this, we introduce a variant of the expected improvement criterion, which proves efficient for adaptively learning the set of profile optima and optimizers. The results are illustrated with a toy example and through a physics case study on the optimal packing of polydisperse frictionless spheres