It is somewhat meaningless to compare
intelligent optimizers with exhaustive search due to the fact that for most
real world problems exhaustive search would need more time than the universe
has been around to solve them … It is also somewhat meaningless to
compare intelligent optimizers with each other based on problems that are
solvable by exhaustive search.
In regards to the imbedded PSO &
Tribes algorithms you state …
“You should increase the number of
evaluations with increasing number of dimensions. The default 1000 is
good for 2 or maximum 3 dimensions” …
Can you provide any guidance as to what
relationship should exist between the number of dimensions and the number of
tests ? i.e. what’s a reasonable number of tests for 5 dimensions, 10,
100 ?
Can you explain the difference between 1
run with 5000 tests and 5 runs with 1000 tests ?
As far as CMAE is concerned … Maybe
I’m missing something but it doesn’t seem that CMAE has anything in
terms of speed over AB’s PSO or Tribes …
I tried CMAE out on a real world intelligent
optimization problem with 15 variables trading 100 symbols by adding the required
statement to the AFL …
Run time for CMAE to complete was 459
minutes …
Run times for AB’s PSO and Tribes to
complete with 5 runs and 1000 tests was in the neighborhood of 75 minutes each with
results being the sane as CMAE.
As an FYI …
Run times for IO’s DE and PS to
complete via their own internal decision making process w/o the help of
additional cores ( servers ) was in the same neighborhood with times of 72 and 53
minutes respectively.
With the help of additional cores ( 7 ) IO’s
DE and PSO ran to completion in 11 and 8 minutes respectively …
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Tomasz Janeczko
Sent: Friday, June 27, 2008 8:05
PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: The
EASIEST way to use new optimizer engines
FYI:
using new optimizer engine (cmae) to optimize seemingly
simple 3 parameter (ranging 1..100) system gives speed up
of more than 1000 times, as cmae optimizer is able to find best
value in less than 1000 backtests compared to one million backtests
using exhaustive search. It also outperforms PSO usually by factor of 10.
That is 500 times faster than you would get from exhaustive opt using your dual
core
and 5 times faster than PSO on dual core.
CMA-ES delivers MORE in terms of speed with LESS development time.
Best regards,
Tomasz Janeczko
amibroker.com