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GECCO
2009
Springer

Optimal robust expensive optimization is tractable

10 years 11 months ago
Optimal robust expensive optimization is tractable
Following a number of recent papers investigating the possibility of optimal comparison-based optimization algorithms for a given distribution of probability on fitness functions, we (i) discuss the comparison-based constraints (ii) choose a setting in which theoretical tight bounds are known (iii) develop a careful implementation using billiard algorithms, Upper Confidence trees and (iv) experimentally test the tractability of the approach. The results, on still very simple cases, show that the approach, yet still preliminary, could be tested successfully until dimension 10 and horizon 50 iterations within a few hours on a standard computer, with convergence rate far better than the best algorithms. Categories and Subject Descriptors
Philippe Rolet, Michèle Sebag, Olivier Teyt
Added 26 May 2010
Updated 26 May 2010
Type Conference
Year 2009
Where GECCO
Authors Philippe Rolet, Michèle Sebag, Olivier Teytaud
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