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Non-intrusive Termination of Noisy Optimization

Jeffrey Larson (jeffrey.larson***at***ucdenver.edu)
Stefan M. Wild (wild***at***mcs.anl.gov)

Abstract: Significant savings can be gained from terminating the optimization of a computationally expensive function well before traditional criteria, such as a maximum budget of evaluations, are satisfied. Early termination is especially desirable for noisy functions, where a solver could potentially proceed indefinitely while seeing changes insignificant relative to the noise. In this paper we consider general termination tests that can be used in conjunction with any solver’s built-in termination criteria. We propose parameterized families of termination tests, analyze their properties, and illustrate how they can employ an estimate of the function’s noise level. Using a set of benchmark problems with both stochastic and deterministic noise and a set of derivative-free solvers, we compare the tests and their sensitivities to parameters in terms of both accuracy and efficiency. Recommendations are made for using the proposed tests in practice.

Keywords: Noisy Optimization, Termination Criteria, Deterministic Noise, Stochastic Noise, Derivative-free Optimization

Category 1: Optimization Software and Modeling Systems

Citation: To appear in Optimization Methods and Software, 2012 Available as Preprint ANL/MCS-P1887-0511, May 2011.

Download: [PDF]

Entry Submitted: 06/07/2011
Entry Accepted: 06/07/2011
Entry Last Modified: 01/04/2012

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