Corpus ID: 218581580

Multi-Scale Zero-Order Optimization of Smooth Functions in an RKHS

@article{Shekhar2020MultiScaleZO,
  title={Multi-Scale Zero-Order Optimization of Smooth Functions in an RKHS},
  author={Shubhanshu Shekhar and Tara Javidi},
  journal={ArXiv},
  year={2020},
  volume={abs/2005.04832}
}
We aim to optimize a black-box function $f:\mathcal{X} \mapsto \mathbb{R}$ under the assumption that $f$ is Holder smooth and has bounded norm in the RKHS associated with a given kernel $K$. This problem is known to have an agnostic Gaussian Process (GP) bandit interpretation in which an appropriately constructed GP surrogate model with kernel $K$ is used to obtain an upper confidence bound (UCB) algorithm. In this paper, we propose a new algorithm (\texttt{LP-GP-UCB}) where the usual GP… Expand
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