On Multiplicative Noise Models for Stochastic Search

@inproceedings{Jebalia2008OnMN,
  title={On Multiplicative Noise Models for Stochastic Search},
  author={Mohamed Jebalia and Anne Auger},
  booktitle={PPSN},
  year={2008}
}
In this paper we investigate multiplicative noise models in the context of continuous optimization. We illustrate how some intrinsic properties of the noise model imply the failure of reasonable search algorithms for locating the optimum of the noiseless part of the objective function. Those findings are rigorously investigated on the (1 + 1)-ES for the minimization of the noisy sphere function. Assuming a lower bound on the support of the noise distribution, we prove that the (1 + 1)-ES… CONTINUE READING