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Stochastic Simultaneous Optimistic Optimization

version 1.0.0.0 (6.33 KB) by Michal Valko
Black box stochastic function optimization without the knowledge of function's smoothness.

609 Downloads

Updated 26 Jun 2013

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This is a blackbox function optimization toolkit that finds the global optimum of a function given a finite budget of noisy evaluations. The algorithm does not require the knowledge of the function's smoothness.

StoSOO, follows an optimistic strategy to iteratively construct upper confidence bounds over the hierarchical partitions of the function domain to decide which point to sample next. A finite-time analysis of StoSOO shows that it performs almost as well as the best specifically-tuned algorithms even though the local smoothness of the function is not known.

https://sequel.lille.inria.fr/Software/StoSOO

Cite As

Michal Valko (2021). Stochastic Simultaneous Optimistic Optimization (https://www.mathworks.com/matlabcentral/fileexchange/42343-stochastic-simultaneous-optimistic-optimization), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2011a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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