Efficient Global Optimization

The optimization method mentioned last post is an improvement on Efficient Global Optimization, presented in the paper Efficient Global Optimization of ExpensiveBlack-Box Functions (also available from on one of the author's websites)


Another paper listed in the references, A Taxonomy of Global Optimization Methods Based on Response Surfaces(by D. R. Jones, one of the authors on the EGO paper) is a nice overview of various optimization methods. It presents each method and gives ways in which it can be fooled into choosing the wrong point as the optimum. A fix is given, which then leads to the next method in the list.


One of the core ideas is regression based on Gaussian processes (kriging). To learn more about Gaussian processes, see www.gaussianprocess.org. The two Jones papers listed above also show how the GP based methods fit in with other basis set methods.