An evaluation of sequential model-based optimization for expensive blackbox functions

Frank Hutter, Holger H. Hoos, Kevin Leyton-Brown

Abstract: We benchmark a sequential model-based optimization procedure, SMAC-BBOB, on the BBOB set of blackbox functions. We demonstrate that with a small budget of 10xD evaluations of D-dimensional functions, SMAC-BBOB in most cases outperforms the state-of-the-art blackbox optimizer CMA-ES. However, CMA-ES benefits more from growing the budget to 100xD, and for larger number of function evaluations SMAC-BBOB also requires increasingly large computational resources for building and using its models.