CHAPTER 12 STATISTICAL METHODS FOR OPTIMIZATION IN DISCRETE PROBLEMS - PowerPoint PPT Presentation

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CHAPTER 12 STATISTICAL METHODS FOR OPTIMIZATION IN DISCRETE PROBLEMS

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Title: CHAPTER 12 STATISTICAL METHODS FOR OPTIMIZATION IN DISCRETE PROBLEMS


1
CHAPTER 12 STATISTICAL METHODS FOR OPTIMIZATION
IN DISCRETE PROBLEMS
Slides for Introduction to Stochastic Search and
Optimization (ISSO) by J. C. Spall
  • Organization of chapter in ISSO
  • Basic problem in multiple comparisons
  • Finite number of elements in search domain ?
  • Tukey-Kramer test
  • Many-to-one tests for sharper analysis
  • Measurement noise variance known
  • Measurement noise variance unknown (estimated)
  • Ranking and selection methods

2
Background
  • Statistical methods used here to solve
    optimization problem
  • Not just for evaluation purposes
  • Extending standard pairwise t-test to multiple
    comparisons
  • Let ? ? ? ? ?1, ?2, , ?K be finite search
    space (K possible options)
  • Optimization problem is to find the j such that
    ?? ?j
  • Only have noisy measurements of L(?i)

3
Applications with Monte Carlo Simulations
  • Suppose wish to evaluate K possible options in a
    real system
  • Too difficult to use real system to evaluate
    options
  • Suppose run Monte Carlo simulation(s) for each of
    the K options
  • Compare options based on a performance measure
    (or loss function) L(?) representing average
    (mean) performance
  • ? represents options that can be varied
  • Monte Carlo simulations produce noisy measurement
    of loss function L at each option

4
Statistical Hypothesis Testing
  • Null hypothesis All options in ? ? ?1, ?2, ,
    ?K are effectively the same in the sense that
    L(?1) L(?2) L(?K)
  • Challenge in multiple comparisons alternative
    hypothesis is not unique
  • Contrasts with standard pairwise t-test
  • Analogous to standard t-test, hypothesis testing
    based on collecting sample values of L(?1),
    L(?2), and L(?K), forming sample means

5
TukeyKramer Test
  • Tukey (1953) and Kramer (1956) independently
    developed popular multiple comparisons analogue
    to standard t-test
  • Recall null hypothesis that all options in ? ?
    ?1, ?2, , ?K are effectively the same in the
    sense that L(?1) L(?2) L(?K)
  • TukeyKramer test forms multiple acceptance
    intervals for K(K1)/2 differences ?ij ?
  • Intervals require sample variance calculation
    based on samples at all K options
  • Null hypothesis is accepted if evidence suggests
    all differences ?ij lie in their respective
    intervals
  • Null hypothesis is rejected if evidence suggests
    at least one ?ij lies outside its respective
    interval

6
Example Widths of 95 Acceptance Intervals
Increasing with K in TukeyKramer Test
(n1n2nK10)
7
Example of Tukey-Kramer Test (Example 12.2 in
ISSO)
  • Goal With K 4, test null hypothesis L(?1)
    L(?2) L(?3) L(?4) based on 10 measurements at
    each ?i
  • All (six) differences ?ij ?
    must lie in acceptance intervals 1.23, 1.23
  • Find that ?34 1.72
  • Have ?34 ? 1.23, 1.23
  • Since at least one ?ij is not in acceptance
    interval, reject null hypothesis
  • Conclude at least one ?i likely better than
    others
  • Further analysis required to find ?i that is
    better

8
Multiple Comparisons Against One Candidate
  • Assume prior information suggests one of K points
    is optimal, say ?m
  • Reduces number of comparisons from K(K1)/2
    differences ?ij to only K1
    differences ?mj
  • Under null hypothesis, L(?m) ? L(?j) for all j
  • Aim to reject null hypothesis
  • Implies that L(?m) lt L(?j) for at least some j
  • Tests based on critical values lt 0 for
    observed differences ?mj
  • To show that L(?m) lt L(?j) for all j requires
    additional analysis

9
Example of Many-to-One Test with Known Variances
(Example 12.3 in ISSO)
  • Suppose K 4, m 2 ? Need to compute 3
    critical values , , and for
    acceptance regions
  • Valid to take
  • Under Bonferroni/Chebyshev
  • Under Bonferroni/normal noise
  • Under Slepian/normal noise
  • Note tighter (smaller) acceptance regions when
    assuming normal noise

10
Widths of 95 Acceptance Intervals (lt 0) for
Tukey-Kramer and Many-to-One Tests (n1n2nK10)
11
Ranking and SelectionIndifference Zone Methods
  • Consider usual problem of determining best of K
    possible options, represented ?1 , ?2 ,, ?K
  • Have noisy loss measurements yk(?i )
  • Suppose analyst is willing to accept any ?i such
    that L(?i) is in indifference zone L(??), L(??)
    ?)
  • Analyst can specify ? such that
  • P(correct selection of ? ??) ? 1??? ?
  • whenever L(?i)??? L(??) ? ? for all ?i ? ??
  • Can use independent sampling or common random
    numbers (see Section 14.5 of ISSO)
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