Bayesian optimization (BO) is a popular, sample-efficient technique for expensive, black-box optimization. One such problem arising in manufacturing is that of maximizing the reliability, or equivalently minimizing the probability of a failure, of a design which is subject to random perturbations - a problem that can involve extremely rare failures ($P_\mathrm{fail} = 10^{-6}-10^{-8}$). In this work, we propose two BO methods based on Thompson sampling and knowledge gradient, the latter approximating the one-step Bayes-optimal policy for minimizing the logarithm of the failure probability. Both methods incorporate importance sampling to target extremely small failure probabilities. Empirical results show the proposed methods outperform existing methods in both extreme and non-extreme regimes.

We consider a discrete-time formulation for a class of high-dimensional stochastic joint replenishment problems. First, we approximate the problem by a continuous-time impulse control problem. Exploiting connections among the impulse control problem, backward stochastic differential equations (BSDEs) with jumps, and the stochastic target problem, we develop a novel, simulation-based computational method that relies on deep neural networks to solve the impulse control problem. Based on that solution, we propose an implementable inventory control policy for the original (discrete-time) stochastic joint replenishment problem, and test it against the best available benchmarks in a series of test problems. For the problems studied thus far, our method matches or beats the best benchmark we could find, and it is computationally feasible up to at least 50 dimensions -- that is, 50 stock-keeping units (SKUs).

This study presents AutoOpt-11k, a unique image dataset of over 11,000 handwritten and printed mathematical optimization models corresponding to single-objective, multi-objective, multi-level, and stochastic optimization problems exhibiting various types of complexities such as non-linearity, non-convexity, non-differentiability, discontinuity, and high-dimensionality. The labels consist of the LaTeX representation for all the images and modeling language representation for a subset of images. The dataset is created by 25 experts following ethical data creation guidelines and verified in two-phases to avoid errors. Further, we develop AutoOpt framework, a machine learning based automated approach for solving optimization problems, where the user just needs to provide an image of the formulation and AutoOpt solves it efficiently without any further human intervention. AutoOpt framework consists of three Modules: (i) M1 (Image_to_Text)- a deep learning model performs the Mathematical Expression Recognition (MER) task to generate the LaTeX code corresponding to the optimization formulation in image; (ii) M2 (Text_to_Text)- a small-scale fine-tuned LLM generates the PYOMO script (optimization modeling language) from LaTeX code; (iii) M3 (Optimization)- a Bilevel Optimization based Decomposition (BOBD) method solves the optimization formulation described in the PYOMO script. We use AutoOpt-11k dataset for training and testing of deep learning models employed in AutoOpt. The deep learning model for MER task (M1) outperforms ChatGPT, Gemini and Nougat on BLEU score metric. BOBD method (M3), which is a hybrid approach, yields better results on complex test problems compared to common approaches, like interior-point algorithm and genetic algorithm.

The approximation ratios provided by the EI and EI-PUC policies are unbounded. We prove the result in two parts, first focusing on EI-PUC, and then on EI. To show the result for EI-PUC, we construct a problem instance with a discrete finite domain and no observation noise. One feasible policy for the problem is to "measure the high-variance point once." Let us consider the EI-PUC policy.

Gaussian Process based Bayesian Optimization is a widely applied algorithm to learn and optimize under uncertainty, well-known for its sample efficiency. However, recently -- and more frequently -- research studies have empirically demonstrated that the Gaussian Process fitting procedure at its core could be its most relevant weakness. Fitting a Gaussian Process means tuning its kernel's hyperparameters to a set of observations, but the common Maximum Likelihood Estimation technique, usually appropriate for learning tasks, has shown different criticalities in Bayesian Optimization, making theoretical analysis of this algorithm an open challenge. Exploiting the analogy between Gaussian Processes and Gaussian Distributions, we present a new approach which uses a prefixed set of hyperparameters values to fit as many Gaussian Processes and then combines them into a unique model as a Wasserstein Barycenter of Gaussian Processes. We considered both "easy" test problems and others known to undermine the \textit{vanilla} Bayesian Optimization algorithm. The new method, namely Wasserstein Barycenter Gausssian Process based Bayesian Optimization (WBGP-BO), resulted promising and able to converge to the optimum, contrary to vanilla Bayesian Optimization, also on the most "tricky" test problems.

Statistical inference of model parameters from empirical observations is a fundamental challenge in scientific research, enabling researchers to derive meaningful insights from complex simulation models. These parameters govern the behavior of simulators that replicate real-world phenomena, providing a bridge between theoretical constructs and empirical observations [Lavin et al., 2021]. Calibrating these parameters to ensure that simulator outputs align with observed data constitutes an inverse problem, formally defined within the framework of simulation-based inference (SBI) [Cranmer et al., 2020]. Solving this inverse problem involves addressing uncertainties arising from model stochasticity and potential multi-valuedness, where different sets of parameter values can produce similar observations or similar parameters may lead to varied outputs. Additionally, parameter inference becomes increasingly complex when simulators operate as'black boxes' with intractable likelihood functions, rendering traditional likelihood-based Bayesian methods impractical [Sisson et al., 2018].

The exploration of novel architectures requires physics-based simulation due to a lack of prior experience to start from, which introduces two specific challenges for optimization algorithms: evaluations become more expensive (in time) and evaluations might fail. The former challenge is addressed by Surrogate-Based Optimization (SBO) algorithms, in particular Bayesian Optimization (BO) using Gaussian Process (GP) models. An overview is provided of how BO can deal with challenges specific to architecture optimization, such as design variable hierarchy and multiple objectives: specific measures include ensemble infills and a hierarchical sampling algorithm. Evaluations might fail due to non-convergence of underlying solvers or infeasible geometry in certain areas of the design space. Such failed evaluations, also known as hidden constraints, pose a particular challenge to SBO/BO, as the surrogate model cannot be trained on empty results. This work investigates various strategies for satisfying hidden constraints in BO algorithms. Three high-level strategies are identified: rejection of failed points from the training set, replacing failed points based on viable (non-failed) points, and predicting the failure region. Through investigations on a set of test problems including a jet engine architecture optimization problem, it is shown that best performance is achieved with a mixed-discrete GP to predict the Probability of Viability (PoV), and by ensuring selected infill points satisfy some minimum PoV threshold. This strategy is demonstrated by solving a jet engine architecture problem that features at 50% failure rate and could not previously be solved by a BO algorithm. The developed BO algorithm and used test problems are available in the open-source Python library SBArchOpt.