A Principle for Global Optimization with Gradients
摘要
This work demonstrates the utility of gradients for the global optimization of certain differentiable functions with many suboptimal local minima. To this end, a principle for generating non-local quadratic approximants, and the associated search directions, from gradient information of multimodal objective functions is analyzed. Experiments measure the quality of non-local search directions as well as the performance of the principle embedded into a simplistic algorithm, of the covariance matrix adaptation evolution strategy (CMA-ES), and of a randomly reinitialized Broyden-Fletcher-Goldfarb-Shanno (BFGS) method.