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Step size adjustment

EB E. A. Baltz
ET E. Trask
MB M. Binderbauer
MD M. Dikovsky
HG H. Gota
RM R. Mendoza
JP J. C. Platt
PR P. F. Riley
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We adjust the step size dynamically to ensure that the probability of accepting the new reference shot is roughly controlled. In classical Monte Carlo, there is an optimal acceptance probability of 23.4%21. Accepting too many proposals means that exploration is not aggressive enough. Accepting too few proposals means not exploring enough or stepping too far. The step size η t is adjusted via

The step size is also adjusted fractionally, starting from a baseline A. At each stage the step size is adjusted multiplicatively by exp(γ t) which starts at 1. The choice of α t and β t set the probability of an accepted step to be:

We choose β t = 0.5α t to keep an acceptance probability of approximately 33%.

Copyright and License information: The Author(s) ©2017
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