Online Decisioning Meta-Heuristic Framework for Large Scale Black-Box Optimization

12/17/2018

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by   Mingde Zhao, et al.

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Out of practical concerns and with the expectation to achieve high overall efficiency of the resource utilization, this paper transforms the large scale black-box optimization problems with limited resources into online decision problems from the perspective of dynamic multi-armed bandits, a simplified view of Markov decision processes. The proposed Online Decisioning Meta-heuristic framework (ODM) is particularly well suited for real-world applications, with flexible compatibility for various kinds of costs, interfaces for easy heuristic articulation as well as fewer hyper-parameters for less variance in performance. Experimental results on benchmark functions suggest that ODM has demonstrated significant capabilities for online decisioning. Furthermore, when ODM is articulated with three heuristics, competitive performance can be achieved on benchmark problems with search dimensions up to 10000.