NIPS Proceedingsβ

Structure Learning for Optimization

Part of: Advances in Neural Information Processing Systems 24 (NIPS 2011)

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We describe a family of global optimization procedures that automatically decompose optimization problems into smaller loosely coupled problems, then combine the solutions of these with message passing algorithms. We show empirically that these methods excel in avoiding local minima and produce better solutions with fewer function evaluations than existing global optimization methods. To develop these methods, we introduce a notion of coupling between variables of optimization that generalizes the notion of coupling that arises from factoring functions into terms that involve small subsets of the variables. It therefore subsumes the notion of independence between random variables in statistics, sparseness of the Hessian in nonlinear optimization, and the generalized distributive law. Despite being more general, this notion of coupling is easier to verify empirically -- making structure estimation easy -- yet it allows us to migrate well-established inference methods on graphical models to the setting of global optimization.