PROTES: Probabilistic Optimization with Tensor Sampling

01/28/2023

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by   Anastasia Batsheva, et al.

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We develop new method PROTES for optimization of the multidimensional arrays and discretized multivariable functions, which is based on a probabilistic sampling from a probability density function given in the low-parametric tensor train format. We tested it on complex multidimensional arrays taken, among other, from real-world applications, including unconstrained binary optimization and optimal control problems, for which the possible number of elements is up to 2^100 elements. In numerical experiments, both on analytic model functions and on complex problems, our algorithm outperform existing popular discrete optimization methods (Particle Swarm Optimization, Covariance Matrix Adaptation, Differential Evolution and others). Moreover, we take the same set of hyperparameters of our algorithm for all numerical applications.