Improving Multi-modal Optimization Restart Strategy Through Multi-armed Bandit

Multi-Modal Optimization problems are widespread and can be solved using numerous methods, such as niching, sharing or clearing. In this paper, we are interested in algorithms based on restart strategies, where the searching point is restarted at another initial position when an optimum is found. Previous works show that the choice of these initial positions greatly impacts the performance of the algorithm but is not easy to make. In this paper, we propose a new restart strategy, based on reinforcement learning. Our algorithm subdivides the search space and uses a Multi-Armed Bandit technique to choose the successive restart positions. We experiment this algorithm on various functions and on a modified Hump function with more complex local areas. Our results show significant improvements over previous algorithms, such as the Quasi-Random restart with Decreasing Step-size algorithm.