Publications [#257838] of David B. Dunson

Papers Published

1. Hannah, LA; Powell, WB; Dunson, DB, Semiconvex regression for metamodeling-based optimization, SIAM Journal on Optimization, vol. 24 no. 2 (January, 2014), pp. 573-597, Society for Industrial & Applied Mathematics (SIAM), ISSN 1052-6234 [doi]
   (last updated on 2024/04/23)

   Abstract:
   Stochastic search involves finding a set of controllable parameters that minimizes an unknown objective function using a set of noisy observations. We consider the case when the unknown function is convex and a metamodel is used as a surrogate objective function. Often he data are non-i.i.d. and include an observable state variable, such as applicant information in a loan rate decision problem. State information is difficult to incorporate into convex models. We propose a new semiconvex regression method that is used to produce a convex metamodel in the presence of a state variable. We show consistency for this method. We demonstrate its effectiveness for metamodeling on a set of synthetic inventory management problems and a large real-life auto loan dataset. © 2014 Society for Industrial and Applied Mathematics.