Analytics Strategist

May 19, 2006

No free lunch theorem

Filed under: business strategy, Datarology, Random Thoughts, Uncategorized — Tags: , — Huayin Wang @ 2:06 pm

There are many forms of NFL theorem. I particularly like the one when applied to optimization/search algorithm. In one version, it can be stated as ” all algorithms that search for an extremum of a cost function perform exactly the same, when averaged over all possible cost functions. In particular, if algorithm A outperforms algorithm B on some cost functions, then loosely speaking there must exist exactly as many other functions where B outperforms A.” [Wolpert and Macready (1995)], see also No Free Lunch Theorem

It is a humbling experience when meditating on it, to be reminded of the importance of contextual knowledge of the problem.

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