Friday, June 26, 2015

Towards Large Scale Continuous EDA: A Random Matrix Theory Perspective - implementation -

How about using random projections to explore the world with evolutionary algorithms ? Here you go with Ensemble Random Projections ( a technique that seems very close to some Random Forest approach)

Estimation of distribution algorithms (EDA) are a major branch of evolutionary algorithms (EA) with some unique advantages in principle. They are able to take advantage of correlation structure to drive the search more efficiently, and they are able to provide insights about the structure of the search space. However, model building in high dimensions is extremely challenging and as a result existing EDAs may become less attractive in large scale problems due to the associated large computational requirements. Large scale continuous global optimisation is key to many modern-day real-world problems. Scaling up EAs to large scale problems has become one of the biggest challenges of the field. This paper pins down some fundamental roots of the problem and makes a start at developing a new and generic framework to yield effective and efficient EDA-type algorithms for large scale continuous global optimisation problems. Our concept is to introduce an ensemble of random projections to low dimensions of the set of fittest search points as a basis for developing a new and generic divide-and-conquer methodology. Our ideas are rooted in the theory of random projections developed in theoretical computer science, and in developing and analysing our framework we exploit some recent results in non-asymptotic random matrix theory. MATLAB code is available from
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