Timeline for Optimization algorithm where calculating the function is very costly [duplicate]
Current License: CC BY-SA 4.0
10 events
| when toggle format | what | by | license | comment | |
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| Jul 14, 2018 at 11:41 | history | closed |
Sycorax♦ Peter Flom |
Duplicate of Optimization when Cost Function Slow to Evaluate | |
| Jul 13, 2018 at 14:01 | review | Close votes | |||
| Jul 14, 2018 at 11:41 | |||||
| Jul 13, 2018 at 10:45 | comment | added | Fabian Werner | I think that the name of the field dedicated to optimizing costly functions is called „Bayesian optimization“ googling for that will lead you (for example) to the R package rBayesianOptimization. They have implemented Gaussian process optimization. | |
| Jul 13, 2018 at 10:43 | comment | added | Fabian Werner | In contrast to the answers above I have to say that there are dedicated algorithms in order to execute just the task that you describe. They are usually used in order to optimize the hyperparameters of a neural net. They go like this: approximate the function, optimize the approximated function and then take the minimum of that as the next candidate. One possibility to do this is Gaussian Processes: arimo.com/data-science/2016/… | |
| Jul 13, 2018 at 10:24 | answer | added | stan0 | timeline score: 0 | |
| Jul 13, 2018 at 9:32 | comment | added | Christian | @stan0 yes this is in the working, but this question is particular about the algorithm | |
| Jul 13, 2018 at 9:19 | comment | added | stan0 | Is there an option to speedup the function calculation? Like, using a GPU or a cluster, etc.? | |
| Jul 13, 2018 at 7:12 | answer | added | THN | timeline score: 5 | |
| Jul 13, 2018 at 7:09 | comment | added | deemel | Is it possible for you to translate those fixed boundaries for the variables into constraints for the optimization problem? Also, did you have a look at variable-step solvers? They could save you some executions in contrast to fixed-step ones. Besides that I'm not aware of specific solvers for this case, often people just deploy more computation power to solve the issue. | |
| Jul 13, 2018 at 6:50 | history | asked | Christian | CC BY-SA 4.0 |