Stochastic minimization with adaptive memory

DOI10.1016/0377-0427(93)E0203-XMaRDI QIDQ1893594zbMATH OpenFDO

Authors R. Brunelli, G. P. Tecchiolli

Publication date 24 October 1995

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-0427(93)E0203-X

zbMATH Keywords

adaptive Gaussian memoryconjugate gradientHilbert spaceLevenberg-Marquardt methodsminimum eigenvaluerandom search algorithmssingular differential operatorstochastic minimization algorithm

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15)

Review text

A variant of a stochastic minimization algorithm is studied. A common feature of random search algorithms is that little or no use is made of information on the local structure of the function to be minimized. A random search algorithm with adaptive memory is presented which is characterized by the use of an adaptive Gaussian memory for biasing the exploration. It is shown how the random search can be supplemented with a simple, dynamic memory mechanism, enabling the algorithm to maintain a more global view of the function to be minimized and to use it as a predictive tool in the search for the minimum. Several problems are considered to demonstrate the increased efficiency of the algorithm over the basic variant. Comparison with classic minimization techniques, such as the conjugate gradient and Levenberg- Marquardt methods, are also given. Of particular interest is the application of the presented algorithm to the computation of the minimum eigenvalue of a singular differential operator on a Hilbert space for which traditional techniques perform badly.

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Cited in

(7)

• State-space recursive least-squares with adaptive memory
• Stochastic goal-oriented error estimation with memory
• The continuous reactive tabu search: Blending combinatorial optimization and stochastic search for global optimization
• Pure random search with exponential rate of convergency
• On sequential strategies for loss functions with memory
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