Hesitant adaptive search with estimation and quantile adaptive search for global optimization with noise

Zelda B. Zabinsky () and David D. Linz
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Zelda B. Zabinsky: University of Washington
David D. Linz: University of Washington

Journal of Global Optimization, 2023, vol. 87, issue 1, No 2, 55 pages

Abstract: Abstract Adaptive random search approaches have been shown to be effective for global optimization problems, where under certain conditions, the expected performance time increases only linearly with dimension. However, previous analyses assume that the objective function can be observed directly. We consider the case where the objective function must be estimated, often using a noisy function, as in simulation. We present a finite-time analysis of algorithm performance that combines estimation with a sampling distribution. We present a framework called Hesitant Adaptive Search with Estimation, and derive an upper bound on function evaluations that is cubic in dimension, under certain conditions. We extend the framework to Quantile Adaptive Search with Estimation, which focuses sampling points from a series of nested quantile level sets. The analyses suggest that computational effort is better expended on sampling improving points than refining estimates of objective function values during the progress of an adaptive search algorithm.

Date: 2023
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DOI: 10.1007/s10898-023-01307-7

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