Metrics Optimization Engine (MOE)

Co-developed with Yelp, this package performs parallel global optimization of expensive functions. It was developed for optimizing website metrics like click-through rate, but can also be used for non-web applications.

MOE on github

MatlabKG library

This Matlab library implements independent KG from (Frazier, Powell & Dayanik, in SIAM J. Control & Optimization 2008) and correlated KG from (Frazier, Powell & Dayanik, in INFORMS J. on Computing 2009).


InfoCollection library

The InfoCollection library has java implementations for a number of ranking and selection policies in the normal sampling case with both variance known and unknown. I intend upon expanding it to simulate a larger class of information class problems.


Miscellaneous Utilities

This java library contains generic utilities that are not specific to information collection. It is used by the InfoCollection library. (jar), (source) (updated 4/9/2008).

InfoCollection-Based Numerical Experiments

This code was used directly to generate published numerical results, and generally uses the InfoCollection library. It also uses gnuplot to generate plots.

Stepsize Library

The stepsize library is a collection of java files implementing various stepsize rules for approximate dynamic programming (Library version updated 4/26/2007).

Timing Uncertainty

This collection of matlab files related to timing uncertainty contains an implementation of a dynamic programming algorithm for computing the optimal policy for doing sequential hypothesis testing under a stochastic deadline. This software was put together in support of a NIPS conference paper that Angela Yu and I wrote in 2007. The archive contains a README describing the files. (updated 8/17/2007).