I have to use an objective function with a high computational cost. Running Genetic Algorithms, solutions with high quality are obtained, but the search time is overwhelming because a lot of objective function evaluations. I want to apply some other metaheuristic that give me same quality for the solutions in less search time, according to a low objective function evaluations.
Hello,
I assume that you do not have an easy and/or efficient access to the derivative of your objective function. If this is the case, I suggest you to have a look at the field of Black-box optimization and derivative-free optimization methods where this problematic of finding good solutions within a reasonable budget of function evaluations is heavily studied.
As always, there is no perfect answer: methods require more or less function evaluations in order to achieve good solutions. So the choice will depend on how heavy is the cost of evaluating your objective function (what is the maximum number of function evaluations you think is reasonable).
I suggest you to have a look at the CMA-ES method (http://cma.gforge.inria.fr/), which is a state-of art method with nice properties and performances. I am not sure it will fit your needs, but it is a start.
If you want to explore, then try Grey Wolf Optimizer.
There are several other new metheuristcs.
Have a look at those.
http://www.alimirjalili.com/Projects.html
Benjamin Martin Yes, it is the case, I have not derivatives. The cost of the function es O(n^3) . CMA-ES is for continuous domain, I have a discreet space. Thanks for your answer.
Mah Parsa I only try with LS an GA. I will review the new ICA method. Thanks for your answer.
Hi,
for discrete problems there is a very simple mono-agent metaheuristic which is very simple to configure (only one parameter and simple few improvements) : Late Acceptance Hill Climbing (LAHC).
Maybe it is worth trying to see if it is efficient with your problem.
Here is a link to pdf article : https://www.semanticscholar.org/paper/The-Late-Acceptance-HillClimbing-Heuristic-Burke-Bykov/28cf19a305a3b02ba2f34497bebace9f74340ade
Best regards.
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