Noisy optimization: a theoretical strategy comparison of ES, EGS, SPSA & IF on the noisy sphere

Authors:
Steffen Finck;Hans-Georg Beyer;Alexander Melkozerov
Affiliations:
Vorarlberg University of Applied Sciences, Dornbirn, Austria;Vorarlberg University of Applied Sciences, Dornbirn, Austria;University of Ulm, Ulm, Germany
Venue:
Proceedings of the 13th annual conference on Genetic and evolutionary computation
Year:
2011

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Abstract

This paper presents a performance comparison of 4 direct search strategies in continuous search spaces using the noisy sphere as test function. While the results of the Evolution Strategy (ES), Evolutionary Gradient Search (EGS), Simultaneous Perturbation Stochastic Approximation (SPSA) considered are already known from literature, Implicit Filtering (IF) as the fourth strategy is firstly analyzed in this paper. After a short review of ES, EGS, and SPSA, the derivation of the quality gain formula of IF is sketched. Using the results, a comparison of the strategies is performed that worked out the similarities and differences of the strategies.