Parallel black-box optimization of expensive high-dimensional multimodal functions via magnitude

Understand

Building on the recently developed theory of magnitude, we introduce the optimization algorithm EXPLO2 and carefully benchmark it.

• EXPLO2 advances the state of the art for optimizing high-dimensional ($D \gtrapprox 40$) multimodal functions that are expensive to compute and for which derivatives are not available, such as arise in hyperparameter optimization or via simulations.