Smart Linear Algebraic Operations for Efficient Gaussian Markov Improvement Algorithm

Xinru Li, Eunhye Song

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This paper studies computational improvement of the Gaussian Markov improvement algorithm (GMIA) whose underlying response surface model is a Gaussian Markov random field (GMRF). GMIA's computational bottleneck lies in the sampling decision, which requires factorizing and inverting a sparse, but large precision matrix of the GMRF at every iteration. We propose smart GMIA (sGMIA) that performs expensive linear algebraic operations intermittently, while recursively updating the vectors and matrices necessary to make sampling decisions for several iterations in between. The latter iterations are much cheaper than the former at the beginning, but their costs increase as the recursion continues and ultimately surpass the cost of the former. sGMIA adaptively decides how long to continue the recursion by minimizing the average per-iteration cost. We perform a floating-point operation analysis to demonstrate the computational benefit of sGMIA. Experiment results show that sGMIA enjoys computational efficiency while achieving the same search effectiveness as GMIA.

Original languageEnglish (US)
Title of host publicationProceedings of the 2020 Winter Simulation Conference, WSC 2020
EditorsK.-H. Bae, B. Feng, S. Kim, S. Lazarova-Molnar, Z. Zheng, T. Roeder, R. Thiesing
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages2887-2898
Number of pages12
ISBN (Electronic)9781728194998
DOIs
StatePublished - Dec 14 2020
Event2020 Winter Simulation Conference, WSC 2020 - Orlando, United States
Duration: Dec 14 2020Dec 18 2020

Publication series

NameProceedings - Winter Simulation Conference
Volume2020-December
ISSN (Print)0891-7736

Conference

Conference2020 Winter Simulation Conference, WSC 2020
CountryUnited States
CityOrlando
Period12/14/2012/18/20

All Science Journal Classification (ASJC) codes

  • Software
  • Modeling and Simulation
  • Computer Science Applications

Fingerprint Dive into the research topics of 'Smart Linear Algebraic Operations for Efficient Gaussian Markov Improvement Algorithm'. Together they form a unique fingerprint.

Cite this