Bandit-based estimation of distribution algorithms for noisy optimization: rigorous runtime analysis

  • Authors:
  • Philippe Rolet;Olivier Teytaud

  • Affiliations:
  • TAO, Inria, LRI, UMR, CNRS, Univ. Paris-Sud, Orsay, France;TAO, Inria, LRI, UMR, CNRS, Univ. Paris-Sud, Orsay, France

  • Venue:
  • LION'10 Proceedings of the 4th international conference on Learning and intelligent optimization
  • Year:
  • 2010

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Abstract

We show complexity bounds for noisy optimization, in frameworks in which noise is stronger than in previously published papers[19]. We also propose an algorithm based on bandits (variants of [16]) that reaches the bound within logarithmic factors. We emphasize the differences with empirical derived published algorithms. Complete mathematical proofs can be found in [26].