Efficient Multi-start Strategies for Local Search Algorithms
Local search algorithms for global optimization often suffer from getting trapped in a local optimum. The common solution for this problem is to restart the algorithm when no progress is observed. Alternatively, one can start multiple instances of a local search algorithm, and allocate computational resources (in particular, processing time) to the instances depending on their behavior. Hence, a multi-start strategy has to decide (dynamically) when to allocate additional resources to a particular instance and when to start new instances. In this paper we propose a consistent multi-start strategy that assumes a convergence rate of the local search algorithm up to an unknown constant, and in every phase gives preference to those instances that could converge to the best value for a particular range of the constant. Combined with the local search algorithm SPSA (Simultaneous Perturbation Stochastic Approximation), the strategy performs remarkably well in practice, both on synthetic tasks and on tuning the parameters of learning algorithms.