Online Optimization with Costly and Noisy Measurements using Random Fourier Expansions


The algorithm maintains a surrogate of the unknown function in the form of a random Fourier expansion (RFE). The surrogate is updated whenever a new measurement is available, and then used to determine the next measurement point. The algorithm is comparable to Bayesian optimization algorithms, but its computational complexity per iteration does not depend on the number of measurements. We derive several theoretical results that provide insight on how the hyperparameters of the algorithm should be chosen. The algorithm is compared to a Bayesian optimization algorithm for a benchmark problem and two optics applications, namely, optical coherence tomography and optical beam-forming network tuning.