Stochastic Simultaneous Optimistic Optimization

StoSOO (Stochastic Simultaneous Optimistic Optimization)

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

Reference: Michal Valko, Alexandra Carpentier, RĂ©mi Munos: Stochastic Simultaneous Optimistic Optimization, in 30th International Conference on Machine Learning (ICML 2013)

Software: StoSOO (Matlab) v1.0

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