GLOBAL OPTIMIZATION OF A RANDOM WALK FUNCTION
Morgan Herndon, Gary Perttunen, B.E. Stuckman · 1992
A random walk dan be used to model various types of discrete random processes. It may be of interest at some point to find the peak of this function. A direct method of doing so involves evaluating the function at every point and recording the highest value. ltowever, it 'may be desirable to find the peak without having, to evalua.te the function at every point. A search technique was developed to find the peak of a random walk with a minimal number of function evaluations using probabilistic means to guess at where the peak will most likely occur gi*n the parameters of a specific function. A computer pro gram was written tqimplement the search strategy and a series- of random walk functions of varyin~ lengths were generated to test its performance. Data was compiled and the rei>ults show that the search is capable of finding the peak with a significant reduction in the number of function evaluations needed for a point by point search, especially for funct,ions of greater walk l~ngth.