Dimension Selection in Axis-Parallel Brent-STEP Method for Black-Box Optimization of Separable Continuous Functions
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Book chapterAutor
Pošík, Petr
Baudiš, Petr
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The recently proposed Brent-STEP algorithm was gener
alized for separable functions by performing axis-parallel
searches, interleaving the steps in individual dimensions in
a round-robin fashion. This article explores the possibility
to choose the dimension for the next step in a more “intel
ligent way”, i.e. to optimize first along dimensions which
are believed to bring the highest profit. We present here
the results for the epsilon-greedy strategy, and for a method
based on the internals of the Brent-STEP algorithm. Al
though the proposed methods work better than the round
robin strategy in some situations, due to the marginal im
provement they bring we suggest the round robin strategy
to be used, thanks to its simplicity.
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