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math.NA2013★ 21 cited
Linear Convergence on Positively Homogeneous Functions of a Comparison Based Step-Size Adaptive Randomized Search: the (1+1) ES with Generalized One-fifth Success Rule
Anne Auger, Nikolaus Hansen
In the context of unconstraint numerical optimization, this paper investigates the global linear convergence of a simple probabilistic derivative-free optimization algorithm (DFO).…
math.NA2013★ 2 cited
Linear Convergence of Comparison-based Step-size Adaptive Randomized Search via Stability of Markov Chains
Anne Auger, Nikolaus Hansen
In this paper, we consider comparison-based adaptive stochastic algorithms for solving numerical optimisation problems. We consider a specific subclass of algorithms that we call c…