CLUSTER: Derivative-free optimization of smooth functions with parameter-change costs
We introduce the CLUSTER algorithm (\textbf{c}oordinate-\textbf{l}evel \textbf{u}pdate \textbf{s}trategy for \textbf{t}rust-region step \textbf{e}valuation \textbf{r}efinement) for local derivative-free optimization problems where there is a cost to changing each parameter (or clusters of parameters). For example, this type of cost model is appropriate for optimizing robot-controlled laboratory experiments, in which a robot may incur a separate motion for each parameter cluster to be adjusted. We build off of a class of quadratic-interpolation optimization algorithms by Powell and Conn that are known to perform well for twice-differentiable objectives (e.g. low-noise experiments), and show that the CLUSTER variants improve performance on a variety of test problems (including an optics laboratory experiment) by around 50$\%$, and greatly outperform common competing algorithms for laboratory optimization (Bayesian optimization and Nelder--Mead). We also adapt the convergence proof of the Conn algorithm to obtain a similar convergence guarantee for CLUSTER-Conn.