Related papers: Stochastic simultaneous optimistic optimization
Efficient global optimization is the problem of minimizing an unknown function f, using as few evaluations f(x) as possible. It can be considered as a continuum-armed bandit problem, with noiseless data and simple regret. Expected…
We provide a new understanding of the stochastic gradient bandit algorithm by showing that it converges to a globally optimal policy almost surely using \emph{any} constant learning rate. This result demonstrates that the stochastic…
Submodular functions have applications throughout machine learning, but in many settings, we do not have direct access to the underlying function $f$. We focus on stochastic functions that are given as an expectation of functions over a…
We consider derivative-free black-box global optimization of expensive noisy functions, when most of the randomness in the objective is produced by a few influential scalar random inputs. We present a new Bayesian global optimization…
In federated learning (FL), a cluster of local clients are chaired under the coordination of the global server and cooperatively train one model with privacy protection. Due to the multiple local updates and the isolated non-iid dataset,…
In the field of global optimization, many existing algorithms face challenges posed by non-convex target functions and high computational complexity or unavailability of gradient information. These limitations, exacerbated by sensitivity to…
We consider the problem of global optimization of a function f from very noisy evaluations. We adopt a Bayesian sequential approach: evaluation points are chosen so as to reduce the uncertainty about the position of the global optimum of f,…
Optimization-based samplers such as randomize-then-optimize (RTO) [2] provide an efficient and parallellizable approach to solving large-scale Bayesian inverse problems. These methods solve randomly perturbed optimization problems to draw…
We present a finite-time analysis of two smoothed functional stochastic approximation algorithms for simulation-based optimization. The first is a two time-scale gradient-based method, while the second is a three time-scale Newton-based…
We analyze a stochastic approximation algorithm for decision-dependent problems, wherein the data distribution used by the algorithm evolves along the iterate sequence. The primary examples of such problems appear in performative prediction…
We show that the \emph{stochastic gradient} bandit algorithm converges to a \emph{globally optimal} policy at an $O(1/t)$ rate, even with a \emph{constant} step size. Remarkably, global convergence of the stochastic gradient bandit…
In this paper, the problem of safe global maximization (it should not be confused with robust optimization) of expensive noisy black-box functions satisfying the Lipschitz condition is considered. The notion "safe" means that the objective…
In this paper, we study stochastic submodular maximization problems with general matroid constraints, that naturally arise in online learning, team formation, facility location, influence maximization, active learning and sensing objective…
The greedy algorithm for monotone submodular function maximization subject to cardinality constraint is guaranteed to approximate the optimal solution to within a $1-1/e$ factor. Although it is well known that this guarantee is essentially…
Optimization problems with the objective function in the form of weighted sum and linear equality constraints are considered. Given that the number of local cost functions can be large as well as the number of constraints, a stochastic…
Inspired by regularization techniques in statistics and machine learning, we study complementary composite minimization in the stochastic setting. This problem corresponds to the minimization of the sum of a (weakly) smooth function endowed…
The stochastic knapsack problem is the stochastic variant of the classical knapsack problem in which the algorithm designer is given a a knapsack with a given capacity and a collection of items where each item is associated with a profit…
In this paper, we make the key delineation on the roles of resolution and statistical uncertainty in hierarchical bandits-based black-box optimization algorithms, guiding a more general analysis and a more efficient algorithm design. We…
We consider linear stochastic bandits where the set of actions is an ellipsoid. We provide the first known minimax optimal algorithm for this problem. We first derive a novel information-theoretic lower bound on the regret of any algorithm,…
In many practical decision-making problems it happens that functions involved in optimization process are black-box with unknown analytical representations and hard to evaluate. In this paper, a global optimization problem is considered…