Parallel black-box optimization of expensive high-dimensional multimodal functions via magnitude

01/27/2022

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by   Steve Huntsman, et al.

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Building on the recently developed theory of magnitude, we introduce the optimization algorithm EXPLO2 and carefully benchmark it. EXPLO2 advances the state of the art for optimizing high-dimensional (D ⪆ 40) multimodal functions that are expensive to compute and for which derivatives are not available, such as arise in hyperparameter optimization or via simulations.