Bayesian-Optimal Design via Interacting Particle Systems
通过交互粒子系统实现贝叶斯最优设计
We propose a new stochastic algorithm for Bayesian-optimal design in nonlinear and high-dimensional contexts. Following Peter Müller, we solve an optimization problem by exploring the expected utility surface through Markov chain Monte Carlo simulations. The optimal design is the mode of this surface considered a probability distribution. Our algorithm relies on a “particle” method to efficiently explore high-dimensional multimodal surfaces, with simulated annealing to…