What's the best method to maximize the value of slow multivariate function? Here is what I know about the function:
- Number of parameters is ~ 10.
- It takes considerable amount of time to compute the value of the function for single variable set. Let's say 30 minutes.
- Function seems to be concave against every individual parameter.
- I can run computation in parallel.
All my code is in Java and I'm interested in coding crude version of the optimization algorithm myself rather than using some industry solver.