Fast Rank-1 Lattice Targeted Sampling for Black-box Optimization
NeurIPS, 2023

Black-box optimization has gained great attention for its success in recent applications.    However, scaling up to high-dimensional problems with good query efficiency remains challenging. This paper proposes a novel Rank-1 Lattice Targeted Sampling (RLTS) technique to address this issue. Our RLTS benefits from random rank-1 lattice Quasi-Monte Carlo, which enables us to perform fast local exact Gaussian processes (GP)  training and inference with $O(n \log n)$ complexity w.r.t. $n$ batch samples. Furthermore, we developed a fast coordinate searching method with $O(n \log n)$ time complexity for fast targeted sampling. The fast computation enables us to plug our RLTS into the sampling phase of stochastic optimization methods. This improves the query efficiency while  scaling up to higher dimensional problems than Bayesian optimization. Moreover,  to construct rank-1 lattices efficiently, we proposed a closed-form construction.  Extensive experiments on challenging benchmark test functions and black-box prompt fine-tuning for large language models demonstrate the query efficiency of our RLTS technique.

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