Étienne de Montbrun

Étienne de Montbrun, Sébastien Gerchinovitz

We consider the problem of multi-fidelity zeroth-order optimization, where one can evaluate a function $f$ at various approximation levels (of varying costs), and the goal is to optimize $f$ with the cheapest evaluations possible. In this paper, we study certified algorithms, which are additionally required to output a data-driven upper bound on the optimization error. We first formalize the problem in terms of a min-max game between an algorithm and an evaluation environment. We then propose a certified variant of the MFDOO algorithm and derive a bound on its cost complexity for any Lipschitz function $f$. We also prove an $f$-dependent lower bound showing that this algorithm has a near-optimal cost complexity. As a direct example, we close the paper by addressing the special case of noisy (stochastic) evaluations, which corresponds to $\eps$-best arm identification in Lipschitz bandits with continuously many arms.

Pierre Gaillard, Sébastien Gerchinovitz, Étienne de Montbrun

We study the classical problem of approximating a non-decreasing function $f: \mathcal{X} \to \mathcal{Y}$ in $L^p(μ)$ norm by sequentially querying its values, for known compact real intervals $\mathcal{X}$, $\mathcal{Y}$ and a known probability measure $μ$ on $\cX$. For any function~$f$ we characterize the minimum number of evaluations of $f$ that algorithms need to guarantee an approximation $\hat{f}$ with an $L^p(μ)$ error below $ε$ after stopping. Unlike worst-case results that hold uniformly over all $f$, our complexity measure is dependent on each specific function $f$. To address this problem, we introduce GreedyBox, a generalization of an algorithm originally proposed by Novak (1992) for numerical integration. We prove that GreedyBox achieves an optimal sample complexity for any function $f$, up to logarithmic factors. Additionally, we uncover results regarding piecewise-smooth functions. Perhaps as expected, the $L^p(μ)$ error of GreedyBox decreases much faster for piecewise-$C^2$ functions than predicted by the algorithm (without any knowledge on the smoothness of $f$). A simple modification even achieves optimal minimax approximation rates for such functions, which we compute explicitly. In particular, our findings highlight multiple performance gaps between adaptive and non-adaptive algorithms, smooth and piecewise-smooth functions, as well as monotone or non-monotone functions. Finally, we provide numerical experiments to support our theoretical results.