A Bayesian Approach for Quantile Optimization Problems with High-Dimensional Uncertainty Sources
Résumé
Robust optimization strategies typically aim at minimizing some statistics of the uncertain objective function and can be expensive to solve when the statistic is costly to estimate at each design point. Surrogate models of the uncertain objective function can be used to reduce this computational cost. However, such surrogate approaches classically require a low-dimensional parametrization of the uncertainties, limiting their applicability. This work concentrates on the minimization of the quantile and the direct construction of a quantile regression model over the design space, from a limited number of training samples. A Bayesian quantile regression procedure is employed to construct the full posterior distribution of the quantile model. Sampling this distribution, we can assess the estimation error and adjust the complexity of the regression model to the available data. The Bayesian regression is embedded in a Bayesian optimization procedure, which generates sequentially new samples to improve the determination of the minimum of the quantile. Specifically, the sample infill strategy uses optimal points of a sample set of the quantile estimator. The optimization method is tested on simple analytical functions to demonstrate its convergence to the global optimum. The robust design of an airfoil’s shock control bump under high-dimensional geometrical and operational uncertainties serves to demonstrate the capability of the method to handle problems with industrial relevance. Finally, we provide recommendations for future developments and improvements of the method.
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