TY - GEN
T1 - Variance reduction in population-based optimization: Application to unit commitment
AU - CHRISTOPHE, Jean Joseph
AU - DECOCK, Jérémie
AU - LIU, Jialin
AU - TEYTAUD, Olivier
N1 - Publisher Copyright:
© Springer International Publishing Switzerland 2016.
PY - 2016
Y1 - 2016
N2 - We consider noisy optimization and some traditional variance reduction techniques aimed at improving the convergence rate, namely (i) common random numbers (CRN), which is relevant for population-based noisy optimization and (ii) stratified sampling, which is relevant for most noisy optimization problems. We present artificial models of noise for which common random numbers are very efficient, and artificial models of noise for which common random numbers are detrimental. We then experiment on a desperately expensive unit commitment problem. As expected, stratified sampling is never detrimental. Nonetheless, in practice, common random numbers provided, by far, most of the improvement.
AB - We consider noisy optimization and some traditional variance reduction techniques aimed at improving the convergence rate, namely (i) common random numbers (CRN), which is relevant for population-based noisy optimization and (ii) stratified sampling, which is relevant for most noisy optimization problems. We present artificial models of noise for which common random numbers are very efficient, and artificial models of noise for which common random numbers are detrimental. We then experiment on a desperately expensive unit commitment problem. As expected, stratified sampling is never detrimental. Nonetheless, in practice, common random numbers provided, by far, most of the improvement.
KW - Common random numbers
KW - Noisy optimization
KW - Stratified sampling
KW - Variance reduction
UR - http://www.scopus.com/inward/record.url?scp=84961761127&partnerID=8YFLogxK
U2 - 10.1007/978-3-319-31471-6_17
DO - 10.1007/978-3-319-31471-6_17
M3 - Conference paper (refereed)
AN - SCOPUS:84961761127
SN - 9783319314709
T3 - Lecture Notes in Computer Science
SP - 219
EP - 233
BT - Artificial Evolution : 12th International Conference, Evolution Artificielle, EA 2015, Revised Selected Papers
A2 - BONNEVAY, Stéphane
A2 - LEGRAND, Pierrick
A2 - MONMARCHÉ, Nicolas
A2 - LUTTON, Evelyne
A2 - SCHOENAUER, Marc
PB - Springer-Verlag Italia Srl
T2 - 12th International Conference on Evolution Artificielle, EA 2015
Y2 - 26 October 2015 through 28 October 2015
ER -