Simple and cumulative regret for continuous noisy optimization

DOI10.1016/J.TCS.2015.09.032zbMATH Open1345.90062OpenAlexW2191298957MaRDI QIDQ905845FDOQ905845

Authors: Sandra Astete-Morales, Marie-Liesse Cauwet, Jialin Liu, Olivier Teytaud 

Publication date: 28 January 2016

Published in: Theoretical Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.tcs.2015.09.032

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zbMATH Keywords

runtime analysisnoisy optimization

Mathematics Subject Classification ID

Stochastic programming (90C15)

Cites Work

• Title not available (Why is that?)
• A Family of Variable-Metric Methods Derived by Variational Means
• The Convergence of a Class of Double-rank Minimization Algorithms
• A new approach to variable metric algorithms
• Conditioning of Quasi-Newton Methods for Function Minimization
• A Stochastic Approximation Method
• Introduction to Stochastic Search and Optimization
• Viability theory
• The NEWUOA software for unconstrained optimization without derivatives
• Lower rate of convergence for locating a maximum of a function
• Adaptive stochastic approximation by the simultaneous perturbation method
• Feedback and Weighting Mechanisms for Improving Jacobian Estimates in the Adaptive Simultaneous Perturbation Algorithm
• Stochastic Approximation of Minima with Improved Asymptotic Speed
• Extremal Eigenvalues of Real Symmetric Matrices with Entries in an Interval
• Stochastic Estimation of the Maximum of a Regression Function
• Noisy optimization complexity under locality assumption
• Pure exploration in finitely-armed and continuous-armed bandits
• On the Kiefer-Wolfowitz approximation method
• Handling expensive optimization with large noise
• A Continuous Kiefer-Wolfowitz Procedure for Random Processes

Cited In (5)

• Sorting by swaps with noisy comparisons
• Algorithm portfolios for noisy optimization
• Robust randomized optimization with \(k\) nearest neighbors
• Evolution strategies with additive noise: a convergence rate lower bound
• Default policies for global optimisation of noisy functions with severe noise

Uses Software

• NEWUOA

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