Continuous lunches are free plus the design of optimal optimization algorithms

DOI10.1007/s00453-008-9244-5zbMath1206.90133WikidataQ56431139 ScholiaQ56431139MaRDI QIDQ848643

Anne Auger, Olivier Teytaud

Publication date: 4 March 2010

Published in: Algorithmica (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.186.6007

zbMATH Keywords

complexity; dynamic programming; no-free-lunch; Kolmogorov's extension theorem; expensive optimization; bandit-based Monte-Carlo planning

Mathematics Subject Classification ID

90C59: Approximation methods and heuristics in mathematical programming

90C27: Combinatorial optimization

68T20: Problem solving in the context of artificial intelligence (heuristics, search strategies, etc.)

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Uses Software

• DFO
• EGO

Cites Work

• An informational approach to the global optimization of expensive-to-evaluate functions
• Efficient global optimization of expensive black-box functions
• Recent progress in unconstrained nonlinear optimization without derivatives
• A derivative based surrogate model for approximating and optimizing the output of an expensive computer simulation
• A no-free-lunch theorem for non-uniform distributions of target functions
• Stochastic process measurability conditions
• Optimization with randomized search heuristics -- the (A)NFL theorem, realistic scenarios, and difficult functions.
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