The Hyperbell Algorithm for Global Optimization: A Random Walk Using Cauchy Densities |
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Authors: | Pierre Courrieu |
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Institution: | (1) CREPCO (URA CNRS 182), Université, de Provence 29 avenue Robert Schuman, F-13621 Aix-en-Provence Cedex 1, France |
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Abstract: | This article presents a new algorithm, called theHyperbell Algorithm, that searches for the global extrema ofnumerical functions of numerical variables. The algorithm relies on theprinciple of a monotone improving random walk whose steps aregenerated around the current position according to a gradually scaleddown Cauchy distribution. The convergence of the algorithm is provenand its rate of convergence is discussed. Its performance is tested onsome hard test functions and compared to that of other recentalgorithms and possible variants. An experimental study of complexityis also provided, and simple tuning procedures for applications areproposed. |
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Keywords: | global optimization random search Cauchy distributions |
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