Optimistic Optimization Of A Brownian

We address the problem of optimizing a Brownian motion. We consider a (random) realization W of a Brownian motion with input space in [0, 1]. Given W, our goal is to return an epsilon-approximation of its maximum using the smallest possible number of function evaluations, the sample complexity of the algorithm. We provide an algorithm with sample complexity of order log(2 )(1/epsilon). This improves over previous results of Al-Mharmah and Calvin (1996) and Calvin et al. (2017) which provided only polynomial rates. Our algorithm is adaptive-each query depends on previous values-and is an instance of the optimism-in-the-face-of-uncertainty principle.