On the implementation of a class of stochastic search algorithms

DOI10.1007/978-3-319-08377-3_42MaRDI QIDQ2942501zbMATH OpenOpenAlexFDO

Authors Jiaqiao Hu, Enlu Zhou

Publication date 11 September 2015

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1301.1333

zbMATH Keywords

global optimizationmodel-based annealing random searchstochastic approximation

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Approximation methods and heuristics in mathematical programming (90C59)

Abstract: In this paper, we propose a stochastic search algorithm for solving general optimization problems with little structure. The algorithm iteratively finds high quality solutions by randomly sampling candidate solutions from a parameterized distribution model over the solution space. The basic idea is to convert the original (possibly non-differentiable) problem into a differentiable optimization problem on the parameter space of the parameterized sampling distribution, and then use a direct gradient search method to find improved sampling distributions. Thus, the algorithm combines the robustness feature of stochastic search from considering a population of candidate solutions with the relative fast convergence speed of classical gradient methods by exploiting local differentiable structures. We analyze the convergence and converge rate properties of the proposed algorithm, and carry out numerical study to illustrate its performance.

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Cites work

• A Model Reference Adaptive Search Method for Global Optimization
• A Stochastic Approximation Framework for a Class of Randomized Optimization Algorithms
• Annealing adaptive search, cross-entropy, and stochastic approximation in global optimization
• scientific article; zbMATH DE number 1702339 (Why is no real title available?)
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Cited in

(6)

• Adaptation of stochastic search methods realized on a homogeneous computational array under uncertainty
• On the Optimality of Randomized \alpha-\beta Search
• scientific article; zbMATH DE number 1857677 (Why is no real title available?)
• Model-based annealing random search with stochastic averaging
• Stochastic Search in a Forest Revisited
• Dynamic sample budget allocation in model-based optimization

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