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From Luc Maisonobe <Luc.Maison...@free.fr>
Subject Re: [math] CMA-ES optimization algorithm
Date Fri, 26 Nov 2010 11:17:14 GMT
Le 26/11/2010 11:58, Dr. Dietmar Wolz a écrit :
> There is another topic worth mentioning:
> Multi-start using MultiStartMultivariateRealOptimizer. 
> In http://www.lri.fr/~hansen/cec2005.html an algo 
> called G-CMA-ES performed very well: 
> A CMA evolution strategy restarted with increasing population size.
> Is there a general need beside CMA-ES to modify parameters
> beside the initial guess? Do we want to support such algorithms
> with MultiStartMultivariateRealOptimizer?
> See also http://www.lri.fr/~hansen/cec2005ipopcmaes.pdf

This is interesting.
It could be worth having more parameters than simple initial guess
changed at each restart also for other methods (say for example the line
search convergence), but how can this be done in a general way ?
Should we simply allow user to register an instance of some optimizer
reconfigurator interface in the constructor ? Something like:

  public MultiStartDifferentiableMultivariateVectorialOptimizer(
         DifferentiableMultivariateVectorialOptimizer optimizer,
         int starts,
         RandomVectorGenerator generator,
         OptimizerReconfigurator reconfigurator)

with

public interface OptimizerReconfigurator {
  public DifferentiableMultivariateVectorialOptimizer
         reconfigure(DifferentiableMultivariateVectorialOptimizer);
}

Luc

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