论文标题
使用多个随机嵌入的有效尺寸低维度的函数的全局优化受限
Constrained global optimization of functions with low effective dimensionality using multiple random embeddings
论文作者
论文摘要
我们考虑具有低有效维度的功能的边界约束全局优化,这些功能沿(未知)线性子空间持续不变,并且在有效(补体)子空间上仅变化。我们的目标是使用可行的随机嵌入,隐式探索受约束景观的固有低维度,以了解和提高算法的可扩展性,以全局优化这些特殊结构问题。研究了减少的子问题公式,该公式在受仿射约束的情况下解决了随机的低维子空间的原始问题,从而保持相对于给定域的可行性。在合理的假设下,我们表明,减少问题成功地解决原始的全维问题的可能性是正面的。此外,如果目标的有效子空间与坐标轴对齐时,我们就这种成功概率提供了渐近型结合,该概率捕获了其代数依赖对有效性和令人惊讶的环境维度的依赖。然后,我们提出了X-Rego,这是一种使用多个随机嵌入的通用算法框架,可以自适应地反复求解上述减少问题。使用减少子问题的成功概率,我们证明X-Rego在全球范围内收敛,并在嵌入数量上线性地收敛到$ε$ -Enighbourhood of Bergion of Blobhimizer的$ε$ neighbourhood。我们对特殊结构函数的数值实验说明了我们的理论发现以及X-Rego变体的可扩展性,与最新的全局甚至最新的局部优化求解器相结合时。
We consider the bound-constrained global optimization of functions with low effective dimensionality, that are constant along an (unknown) linear subspace and only vary over the effective (complement) subspace. We aim to implicitly explore the intrinsic low dimensionality of the constrained landscape using feasible random embeddings, in order to understand and improve the scalability of algorithms for the global optimization of these special-structure problems. A reduced subproblem formulation is investigated that solves the original problem over a random low-dimensional subspace subject to affine constraints, so as to preserve feasibility with respect to the given domain. Under reasonable assumptions, we show that the probability that the reduced problem is successful in solving the original, full-dimensional problem is positive. Furthermore, in the case when the objective's effective subspace is aligned with the coordinate axes, we provide an asymptotic bound on this success probability that captures its algebraic dependence on the effective and, surprisingly, ambient dimensions. We then propose X-REGO, a generic algorithmic framework that uses multiple random embeddings, solving the above reduced problem repeatedly, approximately and possibly, adaptively. Using the success probability of the reduced subproblems, we prove that X-REGO converges globally, with probability one, and linearly in the number of embeddings, to an $ε$-neighbourhood of a constrained global minimizer. Our numerical experiments on special structure functions illustrate our theoretical findings and the improved scalability of X-REGO variants when coupled with state-of-the-art global - and even local - optimization solvers for the subproblems.