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

11 May 2020Shubhanshu ShekharTara Javidi

We aim to optimize a black-box function $f:\mathcal{X} \mapsto \mathbb{R}$ under the assumption that $f$ is H\"older 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... (read more)

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