title: A global optimization paradigm based on change of measures.
abstract: A global optimization framework, COMBEO (Change Of Measure Based Evolutionary Optimization), is proposed. An important aspect in the development is a set of derivative-free additive directional terms, obtainable through a change of measures en route to the imposition of any stipulated conditions aimed at driving the realized design variables (particles) to the global optimum. The generalized setting offered by the new approach also enables several basic ideas, used with other global search methods such as the particle swarm or the differential evolution, to be rationally incorporated in the proposed set-up via a change of measures. The global search may be further aided by imparting to the directional update terms additional layers of random perturbations such as 'scrambling' and 'selection'. Depending on the precise choice of the optimality conditions and the extent of random perturbation, the search can be readily rendered either greedy or more exploratory. As numerically demonstrated, the new proposal appears to provide for a more rational, more accurate and, in some cases, a faster alternative to many available evolutionary optimization schemes.
authors.affiliation: Computational Mechanics Laboratory, Department of Civil Engineering , Indian Institute of Science , Bangalore 560012, India.
authors.forename: Saikat
authors.initials: S
authors.lastname: Sarkar
authors.affiliation: Computational Mechanics Laboratory, Department of Civil Engineering , Indian Institute of Science , Bangalore 560012, India.
authors.forename: Debasish
authors.initials: D
authors.lastname: Roy
authors.affiliation: Department of Instrumentation and Applied Physics Indian Institute of Science , Bangalore 560012, India.
authors.forename: Ram Mohan
authors.initials: RM
authors.lastname: Vasu
keywords: covariance matrix adaptation evolution strategy; differential evolution; local and global extremizations; martingale problem; particle swarm optimization; random perturbations