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This book introduces readers to Bayesian optimization, highlighting advances in the field and showcasing its successful applications to computer experiments. R code is available as online supplementary material for most included examples, so that readers can better comprehend and reproduce methods. Compact and accessible, the volume is broken down into four chapters. Chapter 1 introduces the reader to the topic of computer experiments; it includes a variety of examples across many industries. Chapter 2 focuses on the task of surrogate model building and contains a mix of several different surrogate models that are used in the computer modeling and machine learning communities. Chapter 3 introduces the core concepts of Bayesian optimization and discusses unconstrained optimization. Chapter 4 moves on to constrained optimization, and showcases some of the most novel methods found in the field. This will be a useful companion to researchers and practitioners working with computer experiments and computer modeling. Additionally, readers with a background in machine learning but minimal background in computer experiments will find this book an interesting case study of the applicability of Bayesian optimization outside the realm of machine learning.
Optimize the performance of your systems with practical experiments used by engineers in the world’s most competitive industries. In Experimentation for Engineers: From A/B testing to Bayesian optimization you will learn how to: Design, run, and analyze an A/B test Break the "feedback loops" caused by periodic retraining of ML models Increase experimentation rate with multi-armed bandits Tune multiple parameters experimentally with Bayesian optimization Clearly define business metrics used for decision-making Identify and avoid the common pitfalls of experimentation Experimentation for Engineers: From A/B testing to Bayesian optimization is a toolbox of techniques for evaluating new features and fine-tuning parameters. You’ll start with a deep dive into methods like A/B testing, and then graduate to advanced techniques used to measure performance in industries such as finance and social media. Learn how to evaluate the changes you make to your system and ensure that your testing doesn’t undermine revenue or other business metrics. By the time you’re done, you’ll be able to seamlessly deploy experiments in production while avoiding common pitfalls. About the technology Does my software really work? Did my changes make things better or worse? Should I trade features for performance? Experimentation is the only way to answer questions like these. This unique book reveals sophisticated experimentation practices developed and proven in the world’s most competitive industries that will help you enhance machine learning systems, software applications, and quantitative trading solutions. About the book Experimentation for Engineers: From A/B testing to Bayesian optimization delivers a toolbox of processes for optimizing software systems. You’ll start by learning the limits of A/B testing, and then graduate to advanced experimentation strategies that take advantage of machine learning and probabilistic methods. The skills you’ll master in this practical guide will help you minimize the costs of experimentation and quickly reveal which approaches and features deliver the best business results. What's inside Design, run, and analyze an A/B test Break the “feedback loops” caused by periodic retraining of ML models Increase experimentation rate with multi-armed bandits Tune multiple parameters experimentally with Bayesian optimization About the reader For ML and software engineers looking to extract the most value from their systems. Examples in Python and NumPy. About the author David Sweet has worked as a quantitative trader at GETCO and a machine learning engineer at Instagram. He teaches in the AI and Data Science master's programs at Yeshiva University. Table of Contents 1 Optimizing systems by experiment 2 A/B testing: Evaluating a modification to your system 3 Multi-armed bandits: Maximizing business metrics while experimenting 4 Response surface methodology: Optimizing continuous parameters 5 Contextual bandits: Making targeted decisions 6 Bayesian optimization: Automating experimental optimization 7 Managing business metrics 8 Practical considerations
Computer simulation experiments are essential to modern scientific discovery, whether that be in physics, chemistry, biology, epidemiology, ecology, engineering, etc. Surrogates are meta-models of computer simulations, used to solve mathematical models that are too intricate to be worked by hand. Gaussian process (GP) regression is a supremely flexible tool for the analysis of computer simulation experiments. This book presents an applied introduction to GP regression for modelling and optimization of computer simulation experiments. Features: • Emphasis on methods, applications, and reproducibility. • R code is integrated throughout for application of the methods. • Includes more than 200 full colour figures. • Includes many exercises to supplement understanding, with separate solutions available from the author. • Supported by a website with full code available to reproduce all methods and examples. The book is primarily designed as a textbook for postgraduate students studying GP regression from mathematics, statistics, computer science, and engineering. Given the breadth of examples, it could also be used by researchers from these fields, as well as from economics, life science, social science, etc.
This book describes methods for designing and analyzing experiments that are conducted using a computer code, a computer experiment, and, when possible, a physical experiment. Computer experiments continue to increase in popularity as surrogates for and adjuncts to physical experiments. Since the publication of the first edition, there have been many methodological advances and software developments to implement these new methodologies. The computer experiments literature has emphasized the construction of algorithms for various data analysis tasks (design construction, prediction, sensitivity analysis, calibration among others), and the development of web-based repositories of designs for immediate application. While it is written at a level that is accessible to readers with Masters-level training in Statistics, the book is written in sufficient detail to be useful for practitioners and researchers. New to this revised and expanded edition: • An expanded presentation of basic material on computer experiments and Gaussian processes with additional simulations and examples • A new comparison of plug-in prediction methodologies for real-valued simulator output • An enlarged discussion of space-filling designs including Latin Hypercube designs (LHDs), near-orthogonal designs, and nonrectangular regions • A chapter length description of process-based designs for optimization, to improve good overall fit, quantile estimation, and Pareto optimization • A new chapter describing graphical and numerical sensitivity analysis tools • Substantial new material on calibration-based prediction and inference for calibration parameters • Lists of software that can be used to fit models discussed in the book to aid practitioners
This book covers several bases at once. It is useful as a textbook for a second course in experimental optimization techniques for industrial production processes. In addition, it is a superb reference volume for use by professors and graduate students in Industrial Engineering and Statistics departments. It will also be of huge interest to applied statisticians, process engineers, and quality engineers working in the electronics and biotech manufacturing industries. In all, it provides an in-depth presentation of the statistical issues that arise in optimization problems, including confidence regions on the optimal settings of a process, stopping rules in experimental optimization, and more.
A comprehensive introduction to Bayesian optimization that starts from scratch and carefully develops all the key ideas along the way.
This book deals with an information-driven approach to plan materials discovery and design, iterative learning. The authors present contrasting but complementary approaches, such as those based on high throughput calculations, combinatorial experiments or data driven discovery, together with machine-learning methods. Similarly, statistical methods successfully applied in other fields, such as biosciences, are presented. The content spans from materials science to information science to reflect the cross-disciplinary nature of the field. A perspective is presented that offers a paradigm (codesign loop for materials design) to involve iteratively learning from experiments and calculations to develop materials with optimum properties. Such a loop requires the elements of incorporating domain materials knowledge, a database of descriptors (the genes), a surrogate or statistical model developed to predict a given property with uncertainties, performing adaptive experimental design to guide the next experiment or calculation and aspects of high throughput calculations as well as experiments. The book is about manufacturing with the aim to halving the time to discover and design new materials. Accelerating discovery relies on using large databases, computation, and mathematics in the material sciences in a manner similar to the way used to in the Human Genome Initiative. Novel approaches are therefore called to explore the enormous phase space presented by complex materials and processes. To achieve the desired performance gains, a predictive capability is needed to guide experiments and computations in the most fruitful directions by reducing not successful trials. Despite advances in computation and experimental techniques, generating vast arrays of data; without a clear way of linkage to models, the full value of data driven discovery cannot be realized. Hence, along with experimental, theoretical and computational materials science, we need to add a “fourth leg’’ to our toolkit to make the “Materials Genome'' a reality, the science of Materials Informatics.
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This book provides a short and concise introduction to Bayesian optimization specifically for experimental and computational materials scientists. After explaining the basic idea behind Bayesian optimization and some applications to materials science in Chapter 1, the mathematical theory of Bayesian optimization is outlined in Chapter 2. Finally, Chapter 3 discusses an application of Bayesian optimization to a complicated structure optimization problem in computational surface science.Bayesian optimization is a promising global optimization technique that originates in the field of machine learning and is starting to gain attention in materials science. For the purpose of materials design, Bayesian optimization can be used to predict new materials with novel properties without extensive screening of candidate materials. For the purpose of computational materials science, Bayesian optimization can be incorporated into first-principles calculations to perform efficient, global structure optimizations. While research in these directions has been reported in high-profile journals, until now there has been no textbook aimed specifically at materials scientists who wish to incorporate Bayesian optimization into their own research. This book will be accessible to researchers and students in materials science who have a basic background in calculus and linear algebra.