Random Optimization

Random Optimization

Random optimization (RO) is a family of numerical optimization methods that do not require the gradient of the problem to be optimized and RO can hence be used on functions that are not continuous or differentiable. Such optimization methods are also known as direct-search, derivative-free, or black-box methods.

The name, random optimization, is attributed to Matyas who made an early presentation of RO along with basic mathematical analysis. RO works by iteratively moving to better positions in the search-space which are sampled using e.g. a normal distribution surrounding the current position.