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arXiv 2501.00469math.OC
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非凸优化的深度优先方向搜索

Depth-first directional search for nonconvex optimization

Tsinghua University(清华大学)

Yuxuan Zhang, Wenxun Xing

AI总结:

本文提出深度优先方向搜索算法DFDS,通过沿每个采样方向完整步进线搜索并用球冠表面积建模成功概率,在相同评估预算下显著提升非凸优化全局寻优精度。

摘要:

随机搜索方法因其理论上的通用性和实现上的简便性而被广泛用于全局优化。本文提出了一种深度优先方向搜索(DFDS)算法,用于全局求解非凸优化问题。受探照灯穿透光束的启发,DFDS 在进入下一个方向之前,会沿每个采样方向执行一次完整的步进线搜索,这与现有优先考虑广泛探索覆盖的方向搜索方法形成对比。我们通过一个新的几何框架建立了 DFDS 的收敛性和计算复杂度,该框架将找到全局最优解的成功概率建模为球冠的表面积。在基准问题上的数值实验表明,在相同的函数评估预算下,与其他随机搜索方法相比,DFDS 在定位全局最优解方面取得了显著更高的精度。

英文摘要:

Random search methods are widely used for global optimization due to their theoretical generality and implementation simplicity. This paper proposes a depth-first directional search (DFDS) algorithm for globally solving nonconvex optimization problems. Motivated by the penetrating beam of a searchlight, DFDS performs a complete stepping line search along each sampled direction before proceeding to the next, contrasting with existing directional search methods that prioritize broad exploratory coverage. We establish the convergence and computational complexity of DFDS through a novel geometric framework that models the success probability of finding a global optimizer as the surface area of a spherical cap. Numerical experiments on benchmark problems demonstrate that DFDS achieves significantly higher accuracy in locating the global optimum compared to other random search methods under the same function evaluation budget.

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