Analysis and parameter selection for an adaptive random search algorithm (Q1780461)
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English | Analysis and parameter selection for an adaptive random search algorithm |
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Analysis and parameter selection for an adaptive random search algorithm (English)
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13 June 2005
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An adaptive random search (ARS) algorithm for solving global optimization problems is investigated. The algorithm aims to find an \(\varepsilon\)-minimizer of the problem. Two versions of the ARS algorithm are studied, the Las Vegas version if the global minimum, \(f^*\), is a priori known, and a Monte Carlo version otherwise. Firstly, a probabilistic model for the number of iterations is developed that are required fo find a \(\varepsilon\)-solution in an \(N\)-parameter system. The model enables to establish a termination criterion to predict the maximum number of samples to achieve an \(\varepsilon\)-solution with the desired confidence. Secondly, a scheme to choose the user-specified parameters is so provided that the algorithm becomes as fast as possible.
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global optimization
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stopping rule
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adaptive random search algorithm
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