Improved global convergence probability using multiple independent optimizations

摘要

For some problems global optimization algorithms may have a significant probability of not converging to the global optimum or require an extremely large number of function evaluations to reach it. For such problems, the probability of finding the global optimum may be improved by performing multiple independent short searches rather than using the entire available budget of function evaluations on a single long search. The main difficulty in adopting such a strategy is to decide how many searches to carry out for a given function evaluation budget. The basic premise of this paper is that different searches may have substantially different outcomes, but they all start with rapid initial improvement of the objective function followed by much slower progress later on. Furthermore, we assume that the number of function evaluations to the end of the initial stage of rapid progress does not change drastically from one search to another for a given problem and algorithmic setting. Therefore we propose that the number of function evaluations required for this rapid-progress stage be estimated with one or two runs, and then the same number of function evaluations be allocated to all subsequent searches. We show that these assumptions work well for the particle swarm optimization algorithm applied to a set of difficult analytical test problems with known global solutions. For these problems we show that the proposed strategy can substantially improve the probability of obtaining the global optimum for a given budget of function evaluations. We also test a Bayesian criterion for estimating the probability of having reached the global optimum at the end of the series of searches and find that it can provide a conservative estimate for most problems. Finally, we demonstrate the approach on a particularly challenging engineering design problem constructed so as to have at least 32 widely separated local optima. Copyright (c) 2006 John Wiley & Sons, Ltd.