Regret analysis of the Piyavskii-Shubert algorithm
Sébastien Gerchinovitz, IRT Saint-Exupéry, Toulouse, France 2.12.0.01 (large Lecture hall)10:15 - 11:15
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