A New Knowledge Gradient-based Method for Constrained Bayesian Optimization

Complex systems optimization is a critical challenge in real production and also the hot spot of academic research. The key factors that raise systems' complexity include (but are not limited to): inestimable structures, computationally intensive evaluations, stochastic noise, and multiple key performance indicators (KPIs). A typical example is a simulation-based optimization for an emergency department. Suppose we aim to optimize the patients' flow cost and departments' closeness by determining the corridors' widths via a simulation model. Due to the characteristics of the simulation model, there exists no explicit expression of the input and output, and the estimations are time-consuming and noise-corrupted. Furthermore, the multilevel performance indicators also lay a burden on optimization problems.