Multiple parameter optimization with lots of local minima

Question

I\'m looking for algorithms to find a \"best\" set of parameter values. The function in question has a lot of local minima and changes very quickly. To make matters even worse,

Answer 1

I can't really help you with finding an algorithm for your specific problem.

However in regards to the random choosing of parameters I think what you are looking for are genetic algorithms. Genetic algorithms are generally based on choosing some random input, selecting those, which are the best fit (so far) for the problem, and randomly mutating/combining them to generate a next generation for which again the best are selected.

If the function is more or less continous (that is small mutations of good inputs generally won't generate bad inputs (small being a somewhat generic)), this would work reasonably well for your problem.