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Black-box optimization of noisy functions with unknown smoothness
Jean-Bastien Grill · Michal Valko · Remi Munos · Remi Munos

Mon Dec 04:00 PM -- 08:59 PM PST @ 210 C #89 #None
We study the problem of black-box optimization of a function $f$ of any dimension, given function evaluations perturbed by noise. The function is assumed to be locally smooth around one of its global optima, but this smoothness is unknown. Our contribution is an adaptive optimization algorithm, POO or parallel optimistic optimization, that is able to deal with this setting. POO performs almost as well as the best known algorithms requiring the knowledge of the smoothness. Furthermore, POO works for a larger class of functions than what was previously considered, especially for functions that are difficult to optimize, in a very precise sense. We provide a finite-time analysis of POO's performance, which shows that its error after $n$ evaluations is at most a factor of $\sqrt{\ln n}$ away from the error of the best known optimization algorithms using the knowledge of the smoothness.

Author Information

Jean-Bastien Grill (INRIA Lille - Nord Europe)
Michal Valko (INRIA Lille - Nord Europe)

Michal is a research scientist in DeepMind Paris and SequeL team at Inria Lille - Nord Europe, France, lead by Philippe Preux and Rémi Munos. He also teaches the course Graphs in Machine Learning at l'ENS Cachan. Michal is primarily interested in designing algorithms that would require as little human supervision as possible. This means 1) reducing the “intelligence” that humans need to input into the system and 2) minimising the data that humans need spend inspecting, classifying, or “tuning” the algorithms. Another important feature of machine learning algorithms should be the ability to adapt to changing environments. That is why he is working in domains that are able to deal with minimal feedback, such as semi-supervised learning, bandit algorithms, and anomaly detection. The common thread of Michal's work has been adaptive graph-based learning and its application to the real world applications such as recommender systems, medical error detection, and face recognition. His industrial collaborators include Intel, Technicolor, and Microsoft Research. He received his PhD in 2011 from University of Pittsburgh under the supervision of Miloš Hauskrecht and after was a postdoc of Rémi Munos.

Remi Munos (Google DeepMind)
Remi Munos (Google DeepMind)

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