Electrical and Electronic Engineering - Research Publications

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Ordinal Optimisation for the Gaussian Copula Model

Chin, R ; Rowe, JE ; Shames, I ; Manzie, C ; Nešić, D ( 2019-11-05)

We present results on the estimation and evaluation of success probabilities for ordinal optimisation over uncountable sets (such as subsets of R d ). Our formulation invokes an assumption of a Gaussian copula model, and we show that the success probability can be equivalently computed by assuming a special case of additive noise. We formally prove a lower bound on the success probability under the Gaussian copula model, and numerical experiments demonstrate that the lower bound yields a reasonable approximation to the actual success probability. Lastly, we showcase the utility of our results by guaranteeing high success probabilities with ordinal optimisation.