Estelle Massart

Global optimization using random embeddings

  • Coralia Cartis
  • Estelle Massart
  • Adilet Otemissov
    • Categories Global Optimization, Nonlinear Optimization Tags , , , ,

    We propose a random-subspace algorithmic framework for global optimization of Lipschitz-continuous objectives, and analyse its convergence using novel tools from conic integral geometry. X-REGO randomly projects, in a sequential or simultaneous manner, the high- dimensional original problem into low-dimensional subproblems that can then be solved with any global, or even local, optimization solver. We estimate … Read more

    Constrained global optimization of functions with low effective dimensionality using multiple random embeddings

  • Coralia Cartis
  • Estelle Massart
  • Adilet Otemissov
    • Categories Global Optimization, Nonlinear Optimization Tags , , ,

    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 … Read more