Papers › Black-Box Optimization with Local Generative Surrogates

Black-Box Optimization with Local Generative Surrogates

11 Feb 2020NeurIPS 2020 12arXiv:2002.04632archive 2025-07-28

Sergey Shirobokov, Vladislav Belavin, Michael Kagan, Andrey Ustyuzhanin, Atılım Güneş Baydin

We propose a novel method for gradient-based optimization of black-box simulators using differentiable local surrogate models. In fields such as physics and engineering, many processes are modeled with non-differentiable simulators with intractable likelihoods. Optimization of these forward models is particularly challenging, especially when the simulator is stochastic. To address such cases, we introduce the use of deep generative models to iteratively approximate the simulator in local neighborhoods of the parameter space. We demonstrate that these local surrogates can be used to approximate the gradient of the simulator, and thus enable gradient-based optimization of simulator parameters. In cases where the dependence of the simulator on the parameter space is constrained to a low dimensional submanifold, we observe that our method attains minima faster than baseline methods, including Bayesian optimization, numerical optimization, and approaches using score function gradient estimators.

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shir994/L-GSO mentioned on GitHubpytorch report

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Bayesian Optimization

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