Dimension Selection in Axis-Parallel Brent-STEP Method for Black-Box Optimization of Separable Continuous Functions
Petr Pošík, P Baudis · 2015
The recently proposed Brent-STEP algorithm was generalized 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 "intelligent 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. Although the proposed methods work better than the round robin strategy in some situations, due to the marginal improvement they bring we suggest the round robin strategy to be used, thanks to its simplicity.