Publications [#257838] of David B. Dunson
search arxiv.org.Papers Published
- Hannah, LA; Powell, WB; Dunson, DB. "Semiconvex regression for metamodeling-based optimization." SIAM Journal on Optimization 24.2 (January, 2014): 573-597. [doi]
(last updated on 2026/01/14)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.