Improving exploration strategies in large dimensions and rate of convergence of global random search algorithms

DOI10.1007/S10898-023-01308-6MaRDI QIDQ6183083zbMATH OpenOpenAlexFDO

Authors Jack Noonan, A. Zhigljavsky

Publication date 26 January 2024

Published in Journal of Global Optimization (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2208.11542

zbMATH Keywords

central limit theoremglobal optimizationstochastic optimizationspace-fillinglarge dimensionglobal random search

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

Abstract: We consider global optimization problems, where the feasible region $X$ is a compact subset of $mathbb{R}^d$ with $dgeq10$. For these problems, we demonstrate the following. First: the actual convergence of global random search algorithms is much slower than that given by the classical estimates, based on the asymptotic properties of random points. Second: the usually recommended space exploration schemes are inefficient in the non-asymptotic regime. Specifically, (a) uniform sampling on entire~$X$ is much less efficient than uniform sampling on a suitable subset of $X$, and (b) the effect of replacement of random points by low-discrepancy sequences is negligible.

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