Examples of inconsistency in optimization by expected improvement

Details Examples of inconsistency in optimization by expected improvement Examples of inconsistency in optimization by expected improvement

2011-09-06

arxiv.org/abs/1109.1320v2

Mathematics

Optimization and Control

Submitted to Journal of Global Optimization. Section 3 with a numerical example added; some remarks in the introduction and de

Scientific paper

We consider the 1D Expected Improvement optimization based on Gaussian processes having spectral densities converging to zero faster than exponentially. We give examples of problems where the optimization trajectory is not dense in the design space. In particular, we prove that for Gaussian kernels there exist smooth objective functions for which the optimization does not converge on the optimum.

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