Regret analysis of the Piyavskii-Shubert algorithm for global Lipschitz optimization

02/06/2020

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by   Clément Bouttier, et al.

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We consider the problem of maximizing a non-concave Lipschitz multivariate function f over a compact domain. We provide regret guarantees (i.e., optimization error bounds) for a very natural algorithm originally designed by Piyavskii and Shubert in 1972. Our results hold in a general setting in which values of f can only be accessed approximately. In particular, they yield state-of-the-art regret bounds both when f is observed exactly and when evaluations are perturbed by an independent subgaussian noise.