Related papers: TREGO: a Trust-Region Framework for Efficient Glob…

Bayesian optimization (BO) is a popular paradigm for global optimization of expensive black-box functions, but there are many domains where the function is not completely a black-box. The data may have some known structure (e.g. symmetries)…

Design optimization under uncertainty is notoriously difficult when the objective function is expensive to evaluate. State-of-the-art techniques, e.g, stochastic optimization or sampling average approximation, fail to learn exploitable…

Proximal policy optimization (PPO) is one of the most popular deep reinforcement learning (RL) methods, achieving state-of-the-art performance across a wide range of challenging tasks. However, as a model-free RL method, the success of PPO…

Consensus-based optimization (CBO) is a powerful and versatile zero-order multi-particle method designed to provably solve high-dimensional global optimization problems, including those that are genuinely nonconvex or nonsmooth. The method…

Non-analytical objectives and constraints often arise in control systems, particularly in problems with complex dynamics, which are challenging yet lack efficient solution methods. In this work, we consider general constrained optimization…

We present an augmented Lagrangian trust-region method to efficiently solve constrained optimization problems governed by large-scale nonlinear systems with application to partial differential equation-constrained optimization. At each…

Bayesian global optimization (BGO) is an efficient surrogate-assisted technique for problems involving expensive evaluations. A parallel technique can be used to parallelly evaluate the true-expensive objective functions in one iteration to…

Multi-objective Bayesian optimization (MOBO) provides a principled framework for optimizing expensive black-box functions with multiple objectives. However, existing MOBO methods often struggle with coverage, scalability with respect to the…

Bayesian optimization (BO) is a sequential approach for optimizing black-box objective functions using zeroth-order noisy observations. In BO, Gaussian processes (GPs) are employed as probabilistic surrogate models to estimate the objective…

Optimizing costly black-box functions within a constrained evaluation budget presents significant challenges in many real-world applications. Surrogate Optimization (SO) is a common resolution, yet its proprietary nature introduced by the…

Bayesian optimization (BO) is a sample-efficient approach to optimizing costly-to-evaluate black-box functions. Most BO methods ignore how evaluation costs may vary over the optimization domain. However, these costs can be highly…

Financial experts and analysts seek to predict the variability of financial markets. In particular, the correct prediction of this variability ensures investors successful investments. However, there has been a big trend in finance in the…

Real-world black-box optimization often involves time-consuming or costly experiments and simulations. Multi-fidelity optimization (MFO) stands out as a cost-effective strategy that balances high-fidelity accuracy with computational…

A wide spectrum of design and decision problems, including parameter tuning, A/B testing and drug design, intrinsically are instances of black-box optimization. Bayesian optimization (BO) is a powerful tool that models and optimizes such…

We propose an extrinsic Bayesian optimization (eBO) framework for general optimization problems on manifolds. Bayesian optimization algorithms build a surrogate of the objective function by employing Gaussian processes and quantify the…

Proximal policy optimization and trust region policy optimization (PPO and TRPO) with actor and critic parametrized by neural networks achieve significant empirical success in deep reinforcement learning. However, due to nonconvexity, the…

In this paper, we study a few challenging theoretical and numerical issues on the well known trust region policy optimization for deep reinforcement learning. The goal is to find a policy that maximizes the total expected reward when the…

Large Language Models (LLMs) have driven substantial progress in artificial intelligence in recent years, exhibiting impressive capabilities across a wide range of tasks, including mathematical problem-solving. Inspired by the success of…

Some real problems require the evaluation of expensive and noisy objective functions. Moreover, the analytical expression of these objective functions may be unknown. These functions are known as black-boxes, for example, estimating the…

Bayesian optimization (BO) is a model-based approach to sequentially optimize expensive black-box functions, such as the validation error of a deep neural network with respect to its hyperparameters. In many real-world scenarios, the…