Per Instance Algorithm Configuration of CMA-ES with Limited Budget

Per Instance Algorithm Configuration (PIAC) relies on features that describe problem instances. It builds an Empirical Performance Model (EPM) from a training set made of (instance, parameter configuration) pairs together with the corresponding performance of the algorithm at hand. This paper presents a case study in the continuous black-box optimization domain, using features proposed in the literature. The target algorithm is CMA-ES, and three of its hyper-parameters. Special care is taken to the computational cost of the features. The EPM is learned on the BBOB benchmark, but tested on independent test functions gathered from the optimization literature.The results demonstrate that the proposed approach can outperform the default setting of CMA-ES with as few as 30 or 50 time the problem dimension additional function evaluations for feature computation.