A line search approach for high dimensional function optimization

摘要

This paper proposes a modified line search method which makes use of partial derivatives and re-starts the search process after a given number of iterations by modifying the boundaries based on the best solution obtained at the previous iteration (or set of iterations). Using several high dimensional benchmark functions, we illustrate that the proposed Line Search Re-Start (LSRS) approach is very suitable for high dimensional global optimization problems. Performance of the proposed algorithm is compared with two popular global optimization approaches, namely, genetic algorithm and particle swarm optimization method. Empirical results for up to 10,000 dimensions clearly illustrate that the proposed approach performs very well for the tested high dimensional functions.