In this paper we introduce new algorithms for optimizing noisy plants in which each experiment is very expensive. The algorithms build a global nonlinear model of the expected output at the same time as using Bayesian linear regression analysis of locally weighted polynomial models. The local model answers queries about confidence, noise, gradient and Hessians, and use them to make automated decisions similar to those made by a practitioner of Response Surface Methodology. The global and local models are combined naturally as a locally weighted regression. We examine the question of whether the global model can really help optimization, and we extend it to the case of time-varying functions. We compare the new algorithms with a highly tuned higher-order stochastic optimization algorithm on randomly-generated functions and a simulated manufacturing task. We note significant improvements in total regret, time to converge, and final solution quality. 1 INTRODUCTION In a stochastic optimization problem, noisy samples are taken from a plant. A sample consists of a chosen control u (a vector ofreal numbers) and a noisy observed response y.

In this paper we introduce new algorithms for optimizing noisy plants in which each experiment is very expensive. The algorithms build a global nonlinear model of the expected output at the same time as using Bayesian linear regression analysis of locally weighted polynomial models. The local model answers queries about confidence, noise,gradient and Hessians, and use them to make automated decisions similar to those made by a practitioner of Response Surface Methodology. The global and local models are combined naturally as a locally weighted regression. We examine the question ofwhether the global model can really help optimization, and we extend it to the case of time-varying functions. We compare the new algorithms with a highly tuned higher-order stochastic optimization algorithmon randomly-generated functions and a simulated manufacturing task. We note significant improvements in total regret, time to converge, and final solution quality. 1 INTRODUCTION In a stochastic optimization problem, noisy samples are taken from a plant. A sample consists of a chosen control u (a vector ofreal numbers) and a noisy observed response y.

Data mining and knowledge discovery in databases have been attracting a significant amount of research, industry, and media attention of late. What is all the excitement about? This article provides an overview of this emerging field, clarifying how data mining and knowledge discovery in databases are related both to each other and to related fields, such as machine learning, statistics, and databases. The article mentions particular real-world applications, specific data-mining techniques, challenges involved in real-world applications of knowledge discovery, and current and future research directions in the field.

MLP networks provided slightly better risk prediction than conventional logistic regression when used to predict the risk of death, stroke, and renal failure on 1257 patients who underwent coronary artery bypass operations. Bootstrap sampling was required to compare approaches and regularization provided by early stopping was an important component of improved performance. A simplified approach to generating confidence intervals for MLP risk predictions using an auxiliary "confidence MLP" was also developed. The confidence MLP is trained to reproduce the confidence bounds that were generated during training by 50 MLP networks trained using bootstrap samples. Current research is validating these results using larger data sets, exploring approaches to detect outlier patients who are so different from any training patient that accurate risk prediction is suspect, developing approaches to explaining which input features are important for an individual patient, and determining why MLP networks provide improved performance.

The TNM staging system has been used since the early 1960's to predict breast cancer patient outcome. In an attempt to increase prognostic accuracy, many putative prognostic factors have been identified. Because the TNM stage model can not accommodate these new factors, the proliferation of factors in breast cancer has lead to clinical confusion. What is required is a new computerized prognostic system that can test putative prognostic factors and integrate the predictive factors with the TNM variables in order to increase prognostic accuracy. Using the area under the curve of the receiver operating characteristic, we compare the accuracy of the following predictive models in terms of five year breast cancer-specific survival: pTNM staging system, principal component analysis, classification and regression trees, logistic regression, cascade correlation neural network, conjugate gradient descent neural, probabilistic neural network, and backpropagation neural network. Several statistical models are significantly more ac- 1064 Harry B. Burke, David B. Rosen, Philip H. Goodman

MLP networks provided slightly better risk prediction than conventional logistic regression when used to predict the risk of death, stroke, and renal failure on 1257 patients who underwent coronary artery bypass operations. Bootstrap sampling was required to compare approaches and regularization provided by early stopping was an important component of improved performance. A simplified approach to generating confidence intervals for MLP risk predictions using an auxiliary "confidence MLP" was also developed. The confidence MLP is trained to reproduce the confidence bounds that were generated during training by 50 MLP networks trained using bootstrap samples. Current research is validating these results using larger data sets, exploring approaches to detect outlier patients who are so different from any training patient that accurate risk prediction is suspect, developing approaches to explaining which input features are important for an individual patient, and determining why MLP networks provide improved performance.

The TNM staging system has been used since the early 1960's to predict breast cancer patient outcome. In an attempt to increase prognostic accuracy, many putative prognostic factors have been identified. Because the TNM stage model can not accommodate these new factors, the proliferation of factors in breast cancer has lead to clinical confusion. What is required is a new computerized prognostic system that can test putative prognostic factors and integrate the predictive factors with the TNM variables in order to increase prognostic accuracy. Using the area under the curve of the receiver operating characteristic, we compare the accuracy of the following predictive models in terms of five year breast cancer-specific survival: pTNM staging system, principal component analysis, classification and regression trees, logistic regression, cascade correlation neural network, conjugate gradient descent neural, probabilistic neural network, and backpropagation neural network. Several statistical models are significantly more ac- 1064 Harry B. Burke, David B. Rosen, Philip H. Goodman

We present a new method for obtaining local error bars for nonlinear regression, i.e., estimates of the confidence in predicted values that depend on the input. We approach this problem by applying a maximumlikelihood framework to an assumed distribution of errors. We demonstrate our method first on computer-generated data with locally varying, normally distributed target noise. We then apply it to laser data from the Santa Fe Time Series Competition where the underlying system noise is known quantization error and the error bars give local estimates of model misspecification. In both cases, the method also provides a weightedregression effect that improves generalization performance.

The TNM staging system has been used since the early 1960's to predict breast cancer patient outcome. In an attempt to increase prognostic accuracy, many putative prognostic factors have been identified. Because the TNM stage model can not accommodate these new factors, the proliferation of factors in breast cancer has lead to clinical confusion. What is required is a new computerized prognostic system that can test putative prognostic factors and integrate the predictive factors with the TNM variables in order to increase prognostic accuracy. Using the area under the curve of the receiver operating characteristic, we compare the accuracy of the following predictive models in terms of five year breast cancer-specific survival: pTNM staging system, principal component analysis, classification and regression trees, logistic regression, cascade correlation neural network, conjugate gradient descent neural, probabilistic neural network, and backpropagation neural network. Several statistical models are significantly more ac- 1064 Harry B. Burke, David B. Rosen, Philip H. Goodman

The TNM staging system has been used since the early 1960's to predict breast cancer patient outcome. In an attempt to increase prognostic accuracy, many putative prognostic factors have been identified. Because the TNM stage model can not accommodate these new factors, the proliferation of factors in breast cancer has lead to clinical confusion. What is required is a new computerized prognostic system that can test putative prognostic factors and integrate the predictive factors with the TNM variables in order to increase prognostic accuracy. Using the area under the curve of the receiver operating characteristic, we compare the accuracy of the following predictive models in terms of five year breast cancer-specific survival: pTNM staging system, principal component analysis, classification and regression trees, logistic regression, cascade correlation neural network, conjugate gradient descent neural, probabilistic neural network, and backpropagation neural network. Several statistical models are significantly more ac- 1064 Harry B. Burke, David B. Rosen, Philip H. Goodman