Regret analysis of the Piyavskii-Shubert algorithm

08.11.2019, 10:15-11:15  –  Campus Golm, Haus 12, Raum 0.01
SFB-Seminar

Sébastien Gerchinowitz (Université de Toulouse)

We consider the problem of maximizing a non-concave Lipschitz function f over a bounded domain in dimension d. In this talk we provide regret guarantees for a decade-old algorithm due to Piyavskii and Shubert (1972). These bounds are derived in the general setting when f is only evaluated approximately. In particular they yield optimal regret bounds when f is observed under independent subgaussian noise. This is joint work with Clément Bouttier and Tommaso Cesari.

Invited by Oleksandre Zadorozhnyi