A Nonparametric Approach to Noisy and Costly Optimization

This paper describes Pairwise Bisection a nonparametric approach to optimizing a noisy function with few function evaluations The algorithm uses nonparametric reasoning about simple geometric relationships to nd minima e ciently Two factors often frus trate optimization noise and cost Output can contain signi cant quantities of noise or error while time or money allows for only a handful of experiments Pairwise bisection is used here to attempt to automate the pro cess of robust and e cient experiment design Real world functions also tend to violate tra ditional assumptions of continuousness and Gaussian noise Since nonparametric statis tics do not depend on these assumptions this algorithm can optimize a wide variety of phenomena with fewer restrictions placed on noise The algorithm s performance is com pared to that of three competing algorithms Amoeba PMAX and Q on several di erent test functions Results on these functions in dicate competitive performance and superior resistance to noise