OPT-GAN: Black-Box Global Optimization via Generative Adversarial Nets

Black-box optimization (BBO) algorithms are concerned with finding the best solutions for problems with missing analytical details. Most classical methods for such problems are based on strong and fixed a priori assumptions, such as Gaussianity. However, the complex real-world problems, especially when the global optimum is desired, could be very far from the a priori assumptions because of their diversities, causing unexpected obstacles to these methods. In this study, we propose a generative adversarial net-based broad-spectrum global optimizer (OPT-GAN) which estimates the distribution of optimum gradually, with strategies to balance exploration-exploitation trade-off. It has potential to better adapt to the regularity and structure of diversified landscapes than other methods with fixed prior, e.g. Gaussian assumption or separability. Experiments conducted on BBO benchmarking problems and several other benchmarks with diversified landscapes exhibit that OPT-GAN outperforms other traditional and neural net-based BBO algorithms.