PROTES: Probabilistic Optimization with Tensor Sampling

We developed a new method PROTES for black-box optimization, which is based on the probabilistic sampling from a probability density function given in the low-parametric tensor train format. We tested it on complex multidimensional arrays and discretized multivariable functions taken, among others, from real-world applications, including unconstrained binary optimization and optimal control problems, for which the possible number of elements is up to $2^{1000}$. In numerical experiments, both on analytic model functions and on complex problems, PROTES outperforms popular discrete optimization methods (Particle Swarm Optimization, Covariance Matrix Adaptation, Differential Evolution, and others).

Authors

• Anastasiia Batsheva
• Andrei Chertkov
• Gleb Ryzhakov
• Ivan Oseledets AIRI, Moscow, Russia Skolkovo Institute of Science and Technology, Moscow, Russia

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