基于低偏差序列Halton的函数极值搜索方法

The Extreme Value Search Method based on Low Discrepancy Sequence Halton

关键词:  Halton序列  低偏差序列  局部搜索  蒙特卡罗方法

Key words:  Halton sequence  low discrepancy sequence  local search  Monte Carlo method

摘要:

研究序列的偏差与函数极值的关系,并针对不可微优化问题,提出基于低偏差序列Halton的函数极值搜索算法.该算法按Halton序列采样,以λ_k为步长,沿各个方向(如坐标轴方向)同时搜索,直到满足要求或达到迭代上限才退出搜索.

Abstract:

The relationship between the discrepancy of sequences and the extreme value of functions is studied. A extreme value search algorithm is proposed in order to overcome non-differentiable optimization problems. This algorithm samples with Halton sequence, and then searches by step λ_k in different directions (such as directions of axes), and terminates when requirements reach or iteration limit meets.