Per-instance algorithm selection seeks to recommend, for a given problem
instance and a given performance criterion, one or several suitable algorithms
that are expected to perform well for the particular setting. The selection is
classically done offline, using openly available information about the problem
instance or features that are extracted from the instance during a dedicated
feature extraction step. This ignores valuable information that the algorithms
accumulate during the optimization process.
In this work, we propose an alternative, online algorithm selection scheme
which we coin per-run algorithm selection. In our approach, we start the
optimization with a default algorithm, and, after a certain number of
iterations, extract instance features from the observed trajectory of this
initial optimizer to determine whether to switch to another optimizer. We test
this approach using the CMA-ES as the default solver, and a portfolio of six
different optimizers as potential algorithms to switch to. In contrast to other
recent work on online per-run algorithm selection, we warm-start the second
optimizer using information accumulated during the first optimization phase. We
show that our approach outperforms static per-instance algorithm selection. We
also compare two different feature extraction principles, based on exploratory
landscape analysis and time series analysis of the internal state variables of
the CMA-ES, respectively. We show that a combination of both feature sets
provides the most accurate recommendations for our test cases, taken from the
BBOB function suite from the COCO platform and the YABBOB suite from the
Nevergrad platform