Optimistic optimization of a Brownian
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We address the problem of optimizing a Brownian motion. We consider a (random) realization W of a Brownian motion with input space in [0,1]. Given W, our goal is to return an ϵ-approximation of its maximum using the smallest possible number of function evaluations, the sample complexity of the algorithm. We provide an algorithm with sample complexity of order ^2(1/ϵ). This improves over previous results of Al-Mharmah and Calvin (1996) and Calvin et al. (2017) which provided only polynomial rates. Our algorithm is adaptive---each query depends on previous values---and is an instance of the optimism-in-the-face-of-uncertainty principle.
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