reckless-minimax

code for On the Application of Danskin’s Theorem to Derivative-Free Minimax Optimization

Installation:

• environment.yml lists the package dependencies. If you have conda:

conda env create -f ./environment.yml

and then activate the environment

source activate reckless

Running Experiments:

cd to the main directory:

export PYTHONPATH=.
python experiments/es_experiment.py

This would run experiments for ES variants. Likewise, feval_experiments.py is for convergence experiments (regret vs. function evalutions), budget_experiment.py is for steps along the decent direction, and scale_experiment.py is for scalability experiments. Experiments results are stored under experiments/results/ in the form of json files

To generate figures of the papers:

python utils/generate_plots.py

Figures will be generated under experiments/results/figs/ corresponding to json files in experiments/results

Statistical validity of experiments

The statstical difference between experiments from different datasets and techniques is measured using the Nemenyi test, at a signficance level of 0.05 [1]

Orange, a data-mining library has been used to calculate the critical difference (CD) measures and generate their plots. Specifically, the graph_ranks method from Orange.evaluation.scoring generates the CD-plots shown in our paper.

The plotting script can be found at utils/plot_cd.py

Reference

[1] Demšar, Janez. "Statistical comparisons of classifiers over multiple data sets." Journal of Machine learning research 7.Jan (2006): 1-30.