Re:Gradient Free Optimizers: A collection of modern optimiza...
by shankr on Sunday February 28, 2021 @10:54AM
(#26294200)
Can you use the methods in this library to do constrained optimization? Whenever I look for such gradient free optimizer it's always comes with some constraint.
[ Parent
| on HN ]
Re:Gradient Free Optimizers: A collection of modern optimiza...
by bbwwnn on Sunday February 28, 2021 @02:36PM
(#26296327)
One simple trick is doing a bijective transformation between your constrained input space and the unconstrained optimizer space. For example, if you have x>0 in your input space, you take the input from your optimizer and apply e^x to it. Or if you have a<x<b you can do a+b*logit(x). What exactly you choose will depend on your prior on how your function behaves.