Black-Box Optimization in Machine Learning with Trust Region Based Derivative Free Algorithm

20 Mar 2017 Hiva Ghanbari Katya Scheinberg

In this work, we utilize a Trust Region based Derivative Free Optimization (DFO-TR) method to directly maximize the Area Under Receiver Operating Characteristic Curve (AUC), which is a nonsmooth, noisy function. We show that AUC is a smooth function, in expectation, if the distributions of the positive and negative data points obey a jointly normal distribution... (read more)

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