PS-AAS: Portfolio Selection for Automated Algorithm Selection in Black-Box Optimization
Résumé
The performance of automated algorithm selection (AAS) strongly depends on the portfolio of algorithms to choose from. Selecting the portfolio is a non-trivial task that requires balancing the trade-off between the higher flexibility of large portfolios with the increased complexity of the AAS task. In practice, probably the most common way to choose the algorithms for the portfolio is a greedy selection of the algorithms that perform well in some reference tasks of interest.
We set out in this work to investigate alternative, data-driven portfolio selection techniques. Our proposed method creates algorithm behavior meta-representations, constructs a graph from a set of algorithms based on their meta-representation similarity, and applies a graph algorithm to select a final portfolio of diverse, representative, and non-redundant algorithms. We evaluate two distinct meta-representation techniques (SHAP and performance2vec) for selecting complementary portfolios from a total of 324 different variants of CMA-ES for the task of optimizing the BBOB single-objective problems in dimensionalities 5 and 30 with different cut-off budgets. We test two types of portfolios: one related to overall algorithm behavior and the `personalized' one (related to algorithm behavior per each problem separately). We observe that the approach built on the performance2vec-based representations favors small portfolios with negligible error in the AAS task relative to the virtual best solver from the selected portfolio, whereas the portfolios built from the SHAP-based representations gain from higher flexibility at the cost of decreased performance of the AAS. Across most considered scenarios, personalized portfolios yield comparable or slightly better performance than the classical greedy approach. They outperform the full portfolio in all scenarios.
Domaines
Informatique [cs]Origine | Fichiers produits par l'(les) auteur(s) |
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