Title: Black-Box Optimization Revisited: Improving Algorithm Selection Wizards through Massive Benchmarking. Abstract: Existing studies in black-box optimization for machine learning suffer from low
generalizability, caused by a typically selective choice of problem instances used
for training and testing different optimization algorithms. Among other issues,
this practice promotes overfitting and poor-performing user guidelines. To address
this shortcoming, we propose in this work a benchmark suite, OptimSuite,
which covers a broad range of black-box optimization problems, ranging from
academic benchmarks to real-world applications, from discrete over numerical
to mixed-integer problems, from small to very large-scale problems, from noisy
over dynamic to static problems, etc. We demonstrate the advantages of such a
broad collection by deriving from it Automated Black Box Optimizer (ABBO), a
general-purpose algorithm selection wizard. Using three different types of algorithm
selection techniques, ABBO achieves competitive performance on all
benchmark suites. It significantly outperforms previous state of the art on some of
them, including YABBOB and LSGO. ABBO relies on many high-quality base
components. Its excellent performance is obtained without any task-specific
parametrization. The benchmark collection, the ABBO wizard, its base solvers,
as well as all experimental data are reproducible and open source in OptimSuite.