Recently, neural networks trained as optimizers under the "learning to learn" or meta-learning framework have been shown to be effective for a broad range of optimization tasks including derivative-free black-box function optimization. Recurrent neural networks (RNNs) trained to optimize a diverse set of synthetic non-convex differentiable functions via gradient descent have been effective at optimizing derivative-free black-box functions. In this work, we propose RNN-Opt: an approach for learning RNN-based optimizers for optimizing real-parameter single-objective continuous functions under limited budget constraints. Existing approaches utilize an observed improvement based meta-learning loss function for training such models. We propose training RNN-Opt by using synthetic non-convex functions with known (approximate) optimal values by directly using discounted regret as our meta-learning loss function. We hypothesize that a regret-based loss function mimics typical testing scenarios, and would therefore lead to better optimizers compared to optimizers trained only to propose queries that improve over previous queries. Further, RNN-Opt incorporates simple yet effective enhancements during training and inference procedures to deal with the following practical challenges: i) Unknown range of possible values for the black-box function to be optimized, and ii) Practical and domain-knowledge based constraints on the input parameters. We demonstrate the efficacy of RNN-Opt in comparison to existing methods on several synthetic as well as standard benchmark black-box functions along with an anonymized industrial constrained optimization problem.
Our work falls under the category of real-parameter black-box global optimization @cite_12 . Traditional approaches for black-box optimization like covariance matrix adaptation evolution strategy (CMA-ES) @cite_24 , Nelder-Mead @cite_3 , and Particle Swarm Optimization (PSO) @cite_20 hand-design rules using heuristics (e.g. using nature-inspired genetic algorithms) to decide the next query point(s) given the observations made so far. Another category of approaches for global optimization of black-box functions include Bayesian optimization techniques @cite_6 @cite_9 @cite_5 . These approaches use observations (query and response) made thus far to approximate the black-box function via a surrogate (meta-) model, e.g. using a Gaussian Process @cite_10 , and then use this model to construct an acquisition function to decide the next query point. The acquisition function updates needed at each step are known to be costly @cite_14 .
@cite_14 @cite_9 @cite_3 @cite_6 @cite_24 @cite_5 @cite_10 @cite_12 @cite_20
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Optimising black-box functions is important in many disciplines, such as tuning machine learning models, robotics, finance and mining exploration. Bayesian optimisation is a state-of-the-art technique for the global optimisation of black-box functions which are expensive to evaluate. At the core of this approach is a Gaussian process prior that captures our belief about the distribution over functions. However, in many cases a single Gaussian process is not flexible enough to capture non-stationarity in the objective function. Consequently, heteroscedasticity negatively affects performance of traditional Bayesian methods. In this paper, we propose a novel prior model with hierarchical parameter learning that tackles the problem of non-stationarity in Bayesian optimisation. Our results demonstrate substantial improvements in a wide range of applications, including automatic machine learning and mining exploration. The optimization of expensive-to-evaluate functions generally relies on metamodel-based exploration strategies. Many deterministic global optimization algorithms used in the field of computer experiments are based on Kriging (Gaussian process regression). Starting with a spatial predictor including a measure of uncertainty, they proceed by iteratively choosing the point maximizing a criterion which is a compromise between predicted performance and uncertainty. Distributing the evaluation of such numerically expensive objective functions on many processors is an appealing idea. Here we investigate a multi-points optimization criterion, the multipoints expected improvement ( (q- E I )), aimed at choosing several points at the same time. An analytical expression of the (q- E I ) is given when q = 2, and a consistent statistical estimate is given for the general case. We then propose two classes of heuristic strategies meant to approximately optimize the (q- E I ), and apply them to the classical Branin-Hoo test-case function. It is finally demonstrated within the covered example that the latter strategies perform as good as the best Latin Hypercubes and Uniform Designs ever found by simulation (2000 designs drawn at random for every q ∈ [1,10]). Many different algorithms have been developed in the last few decades for solving complex real-world search and optimization problems. The main focus in this research has been on the development of a single universal genetic operator for population evolution that is always efficient for a diverse set of optimization problems. In this paper, we argue that significant advances to the field of evolutionary computation can be made if we embrace a concept of self-adaptive multimethod optimization in which multiple different search algorithms are run concurrently, and learn from each other through information exchange using a common population of points. We present an evolutionary algorithm, entitled A Multialgorithm Genetically Adaptive Method for Single Objective Optimization (AMALGAM-SO), that implements this concept of self adaptive multimethod search. This method simultaneously merges the strengths of the covariance matrix adaptation (CMA) evolution strategy, genetic algorithm (GA), and particle swarm optimizer (PSO) for population evolution and implements a self-adaptive learning strategy to automatically tune the number of offspring these three individual algorithms are allowed to contribute during each generation. Benchmark results in 10, 30, and 50 dimensions using synthetic functions from the special session on real-parameter optimization of CEC 2005 show that AMALGAM-SO obtains similar efficiencies as existing algorithms on relatively simple unimodal problems, but is superior for more complex higher dimensional multimodal optimization problems. The new search method scales well with increasing number of dimensions, converges in the close proximity of the global minimum for functions with noise induced multimodality, and is designed to take full advantage of the power of distributed computer networks. This paper presents a novel evolutionary optimization strategy based on the derandomized evolution strategy with covariance matrix adaptation (CMA-ES). This new approach is intended to reduce the number of generations required for convergence to the optimum. Reducing the number of generations, i.e., the time complexity of the algorithm, is important if a large population size is desired: (1) to reduce the effect of noise; (2) to improve global search properties; and (3) to implement the algorithm on (highly) parallel machines. Our method results in a highly parallel algorithm which scales favorably with large numbers of processors. This is accomplished by efficiently incorporating the available information from a large population, thus significantly reducing the number of generations needed to adapt the covariance matrix. The original version of the CMA-ES was designed to reliably adapt the covariance matrix in small populations but it cannot exploit large populations efficiently. Our modifications scale up the efficiency to population sizes of up to 10n, where n is the problem dimension. This method has been applied to a large number of test problems, demonstrating that in many cases the CMA-ES can be advanced from quadratic to linear time complexity. We address the problem of hand pose estimation, formulated as an inverse problem. Typical approaches optimize an energy function over pose parameters using a 'black box' image generation procedure. This procedure knows little about either the relationships between the parameters or the form of the energy function. In this paper, we show that we can significantly improving upon black box optimization by exploiting high-level knowledge of the structure of the parameters and using a local surrogate energy function. Our new framework, hierarchical sampling optimization, consists of a sequence of predictors organized into a kinematic hierarchy. Each predictor is conditioned on its ancestors, and generates a set of samples over a subset of the pose parameters. The highly-efficient surrogate energy is used to select among samples. Having evaluated the full hierarchy, the partial pose samples are concatenated to generate a full-pose hypothesis. Several hypotheses are generated using the same procedure, and finally the original full energy function selects the best result. Experimental evaluation on three publically available datasets show that our method is particularly impressive in low-compute scenarios where it significantly outperforms all other state-of-the-art methods. This paper proposes a new method that extends the efficient global optimization to address stochastic black-box systems. The method is based on a kriging meta-model that provides a global prediction of the objective values and a measure of prediction uncertainty at every point. The criterion for the infill sample selection is an augmented expected improvement function with desirable properties for stochastic responses. The method is empirically compared with the revised simplex search, the simultaneous perturbation stochastic approximation, and the DIRECT methods using six test problems from the literature. An application case study on an inventory system is also documented. The results suggest that the proposed method has excellent consistency and efficiency in finding global optimal solutions, and is particularly useful for expensive systems. Abstract This paper proposes a push and pull search (PPS) framework for solving constrained multi-objective optimization problems (CMOPs). To be more specific, the proposed PPS divides the search process into two different stages: push and pull search stages. In the push stage, a multi-objective evolutionary algorithm (MOEA) is used to explore the search space without considering any constraints, which can help to get across infeasible regions very quickly and to approach the unconstrained Pareto front. Furthermore, the landscape of CMOPs with constraints can be probed and estimated in the push stage, which can be utilized to conduct the parameter setting for the constraint-handling approaches to be applied in the pull stage. Then, a modified form of a constrained multi-objective evolutionary algorithm (CMOEA), with improved epsilon constraint-handling, is applied to pull the infeasible individuals achieved in the push stage to the feasible and non-dominated regions. To evaluate the performance regarding convergence and diversity, a set of benchmark CMOPs and a real-world optimization problem are used to test the proposed PPS (PPS-MOEA D) and state-of-the-art CMOEAs, including MOEA D-IEpsilon, MOEA D-Epsilon, MOEA D-CDP, MOEA D-SR, C-MOEA D and NSGA-II-CDP. The comprehensive experimental results show that the proposed PPS-MOEA D achieves significantly better performance than the other six CMOEAs on most of the tested problems, which indicates the superiority of the proposed PPS method for solving CMOPs. We consider Bayesian methods for multi-information source optimization (MISO), in which we seek to optimize an expensive-to-evaluate black-box objective function while also accessing cheaper but biased and noisy approximations ("information sources"). We present a novel algorithm that outperforms the state of the art for this problem by using a Gaussian process covariance kernel better suited to MISO than those used by previous approaches, and an acquisition function based on a one-step optimality analysis supported by efficient parallelization. We also provide a novel technique to guarantee the asymptotic quality of the solution provided by this algorithm. Experimental evaluations demonstrate that this algorithm consistently finds designs of higher value at less cost than previous approaches. Derivative-free optimization has become an important technique used in machine learning for optimizing black-box models. To conduct updates without explicitly computing gradient, most current approaches iteratively sample a random search direction from Gaussian distribution and compute the estimated gradient along that direction. However, due to the variance in the search direction, the convergence rates and query complexities of existing methods suffer from a factor of @math , where @math is the problem dimension. In this paper, we introduce a novel Stochastic Zeroth-order method with Variance Reduction under Gaussian smoothing (SZVR-G) and establish the complexity for optimizing non-convex problems. With variance reduction on both sample space and search space, the complexity of our algorithm is sublinear to @math and is strictly better than current approaches, in both smooth and non-smooth cases. Moreover, we extend the proposed method to the mini-batch version. Our experimental results demonstrate the superior performance of the proposed method over existing derivative-free optimization techniques. Furthermore, we successfully apply our method to conduct a universal black-box attack to deep neural networks and present some interesting results.