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Adaptive Random Search (Stochastic Algorithm).

February 9, 2011 Leave a comment Go to comments

Taxonomy

The Adaptive Random Search algorithm belongs to the general set of approaches known as Stochastic Optimization and Global Optimization. It is a direct search method in that it does not require derivatives to navigate the search space. Adaptive Random Search is an extension of the Random Search and Localized Random Search algorithms.

Strategy

The Adaptive Random Search algorithm was designed to address the limitations of the fixed step size in the Localized Random Search algorithm. The strategy for Adaptive Random Search is to continually approximate the optimal step size required to reach the global optimum in the search space. This is achieved by trialling and adopting smaller or larger step sizes only if they result in an improvement in the search performance.

The Strategy of the Adaptive Step Size Random Search algorithm (the specific technique reviewed) is to trial a larger step in each iteration and adopt the larger step if it results in an improved result. Very large step sizes are trialled in the same manner although with a much lower frequency. This strategy of preferring large moves is intended to allow the technique to escape local optima. Smaller step sizes are adopted if no improvement is made for an extended period.

Implementation

http://www.cleveralgorithms.com/nature-inspired/stochastic/adaptive_random_search.rb

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