Automated Algorithm Selection on Continuous Black-Box Problems By Combining Exploratory Landscape Analysis and Machine Learning

In this paper, we build upon previous work on designing informative and efficient Exploratory Landscape Analysis features for characterizing problems’ landscapes and show their effectiveness in automatically constructing algorithm selection models in continuous black-box optimization problems. Focussing on algorithm performance results of the COCO platform of several years, we construct a representative set of high-performing complementary solvers and present an algorithm selection model that manages to outperform the single best solver out of the portfolio by factor two. Acting on the assumption that the function set of the Black-Box Optimization Benchmark is representative enough for practical applications the model allows for selecting the best suited optimization algorithm within the considered set for unseen problems prior to the optimization itself based on a small sample of function evaluations. Note that such a sample can even be reused for the initial algorithm population so that feature costs become negligible.