报告题目：Penalized Additive Gaussian Process for Screening and Optimization of Quantitative and Qualitative Factors in Black-Box Systems

报告所属学科：管理科学与工程

报告人：李勇祥（上海交通大学）

报告时间：2024年12月5日 14:00-15:30

报告地点：经管学院702室

报告摘要：

Factor screening and optimization of both quantitative and qualitative (QQ) factors are critical in several recent applications where evaluating black-box systems is resource-intensive or time-consuming. Moreover, some qualitative factors in QQ may involve many levels. Yet, most current screening methods focus on factors, but cannot identify important qualitative levels. To address these challenges, we propose a novel penalized additive Gaussian process (PAGP), featuring an interpretable additive covariance structure for QQ factors. It allows for sparsity penalties on the hyperparameters of the covariance structure, which enables the identification of important qualitative levels. A tailored alternating direction method of multipliers (ADMM) is developed to optimize the L1 regularized likelihood, and a gradient-informed optimization approach using derivative information is proposed to accelerate PAGP modeling. We further establish an effective approach leveraging Shapley values for screening quantitative factors. Then, a Bayesian optimization (BO) approach leveraging the desirable uncertainty quantification of PAGP is proposed to optimize black-box systems with QQ factors. This PAGP-based Bayesian optimization can provide an interpretable importance attribution of factor levels during optimization. PAGP distinguishes itself by enabling sparse regularization and efficient screening of factor levels. Simulations and real case studies illustrate the superior performance of the proposed methods compared to some state-of-the-art approaches.

报告人简介：

李勇祥博士现为上海交通大学工业工程与管理系副教授，于2019年在香港城市大学数据学科学院取得哲学博士学位。李勇祥博士围绕复杂系统的质量与可靠性，研究机理与大数据联合驱动的复杂系统建模与不确定性量化，主要涉及复杂系统的试验设计、统计监测、智能诊断等。研究方向主要包括计算机实验设计与分析、统计与机器学习、统计质量控制、统计信号处理。代表性成果发表在相关领域国际高水平期刊《IEEE Transactions on Pattern Analysis and Machine Intelligence》、《IEEE Transactions on Signal Processing》、《Technometrics》、《IISE Transactions》、《IEEE Transactions on Neural Networks and Learning Systems》等。李勇祥博士先后主持国家自然科学基金青年和面上项目，上海市科技创新行动计划自然科学基金面上项目，并于2021年入选上海市浦江（A类）人才计划，现任INFORMS Journal on Data Science副主编。