Simultaneous Optimistic Optimization

SOO (Simultaneous Optimistic Optimization)

Author: Rémi Munos

This is a blackbox function optimization toolkit that finds the global optimum of a function given a finite budget of deterministic evaluations. The algorithm does not require the knowledge of the function’s local smoothness around its global optimum.

Reference: Rémi Munos: Optimistic optimization of a deterministic function without the knowledge of its smoothness, in NIPS 2011

Getting started

  • Unzip the archive into a directory of your choice.
  • go to soo directory and type ‘make’ to compile all files (requires libraries draw, utils and extra)
  • Example: run ‘./soo 100″ (100 is the number of function evaluations) or alternatively go to ‘LINUX/Debug’ and run one of the soo_name_of_function program
  • Several functions f(.) are commented out in main.c so you can choose another function by uncommenting it or by writing your own f(.) function

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