On Tue, Nov 23, 2010 at 10:19:06AM -0500, josef.pktd@gmail.com wrote:
I have a Nelder-Mead that seems to be working quite well on a few toy problems.
Assuming your function is well behaved, one possible idea is to try replacing the integer objective function with a continuous interpolation. Or maybe fit a bellshaped curve to a few gridpoints. It might get you faster into the right neighborhood to do an exact search.
I've actually been wondering if Gaussian Process regression (aka Krigin) would not be useful here :). It's fairly good at fitting processes for which there is very irregular information. Now I am perfectly aware that any move in this direction would require significant work, so this is more day dreaming than project planning. Gael