Simultaneous optimistic optimization on the noiseless BBOB testbed

We experiment the SOO (Simultaneous Optimistic Optimization) global optimizer on the BBOB testbed. We report results for both the unconstrained-budget setting and the expensive setting, as well as a comparison with the DiRect algorithm to which SOO is mostly related. Overall, SOO is shown to perform rather poorly in the highest dimensions while agreeably exhibiting interesting performance for the most difficult functions, which is to be attributed to its global nature and to the fact that its design was guided by the goal of obtaining theoretically provable performance. The greedy explorationexploitation sampling strategy underlying SOO design is also shown to be a viable alternative for the expensive setting which gives rooms for further improvements in this direction.