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#1 Noisy Derivative-Free Optimization With Value Suppression [PDF] [Copy] [Kimi]

Authors: Hong Wang ; Hong Qian ; Yang Yu

Derivative-free optimization has shown advantage in solving sophisticated problems such as policy search, when the environment is noise-free. Many real-world environments are noisy, where solution evaluations are inaccurate due to the noise. Noisy evaluation can badly injure derivative-free optimization, as it may make a worse solution looks better. Sampling is a straightforward way to reduce noise, while previous studies have shown that delay the noise handling to the comparison time point (i.e., threshold selection) can be helpful for derivative-free optimization. This work further delays the noise handling, and proposes a simple noise handling mechanism, i.e., value suppression. By value suppression, we do nothing about noise until the best-so-far solution has not been improved for a period, and then suppress the value of the best-so-far solution and continue the optimization. On synthetic problems as well as reinforcement learning tasks, experiments verify that value suppression can be significantly more effective than the previous methods.