Consensus-based global optimization with personal best
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Publication:2047862
DOI10.3934/MBE.2020320zbMATH Open1473.90132arXiv2005.07084OpenAlexW3084460939WikidataQ101116927 ScholiaQ101116927MaRDI QIDQ2047862FDOQ2047862
Authors: Claudia Totzeck, M-T Wolfram 
Publication date: 4 August 2021
Published in: Mathematical Biosciences and Engineering (Search for Journal in Brave)
Abstract: In this paper we propose a variant of a consensus-based global optimization (CBO) method that uses personal best information in order to compute the global minimum of a non-convex, locally Lipschitz continuous function. The proposed approach is motivated by the original particle swarming algorithms, in which particles adjust their position with respect to the personal best, the current global best, and some additive noise. The personal best information along an individual trajectory is included with the help of a weighted mean. This weighted mean can be computed very efficiently due to its accumulative structure. It enters the dynamics via an additional drift term. We illustrate the performance with a toy example, analyze the respective memory-dependent stochastic system and compare the performance with the original CBO with component-wise noise for several benchmark problems. The proposed method has a higher success rate for computational experiments with a small particle number and where the initial particle distribution is disadvantageous with respect to the global minimum.
Full work available at URL: https://arxiv.org/abs/2005.07084
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global optimizationnon-convex optimizationstochastic differential equationsinteracting particle systemsconsensus formationpersonal best information
Approximation methods and heuristics in mathematical programming (90C59) Nonconvex programming, global optimization (90C26)
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Cited In (18)
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- Consensus-based optimization for multi-objective problems: a multi-swarm approach
- Trends in Consensus-Based Optimization
- On the mean‐field limit for the consensus‐based optimization
- A constrained consensus based optimization algorithm and its application to finance
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- Mean-field optimal control for biological pattern formation
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- A consensus-based global optimization method with adaptive momentum estimation
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