Author

S. Ng

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Preprint Oct 2026

Principled Design of Expected Improvement for Continuous Simulation Optimization

Expected improvement based on stochastic kriging (SK) surrogate is widely used in continuous simulation optimization, but unknown heteroscedastic noise makes three basic design choices consequential: the incumbent to define improvement, replication allocation, and final recommendation. Existing methods typically either...

Song-Hao Wang, Jiang-Lin Xia, Hao-Wei Wang et al. · 0 citations

#machine learning Preprint Oct 2026

Convergence-Rate-Guided Algorithm Design of Expected Improvement for Continuous Simulation Optimization

Expected improvement (EI) based on stochastic kriging (SK) surrogate is widely used in continuous simulation optimization, but unknown heteroscedastic noise on simulation output makes three basic design choices consequential: the incumbent used to define improvement, the replication level at each sampled point, and the...

Song-Hao Wang, Jiang-Lin Xia, Hao-Wei Wang et al. · 0 citations