A consensus-based model for global optimization and its mean-field limit
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Publication:2963631
DOI10.1142/S0218202517400061zbMATH Open1388.90098arXiv1604.05648OpenAlexW2340142742MaRDI QIDQ2963631FDOQ2963631
Authors: René Pinnau, Claudia Totzeck, Oliver Tse, S. Martin 
Publication date: 15 February 2017
Published in: M\(^3\)AS. Mathematical Models \& Methods in Applied Sciences (Search for Journal in Brave)
Abstract: We introduce a novel first-order stochastic swarm intelligence (SI) model in the spirit of consensus formation models, namely a consensus-based optimization (CBO) algorithm, which may be used for the global optimization of a function in multiple dimensions. The CBO algorithm allows for passage to the mean-field limit, which results in a nonstandard, nonlocal, degenerate parabolic partial differential equation (PDE). Exploiting tools from PDE analysis we provide convergence results that help to understand the asymptotic behavior of the SI model. We further present numerical investigations underlining the feasibility of our approach.
Full work available at URL: https://arxiv.org/abs/1604.05648
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global optimizationstochastic differential equationsmean-field limitinteracting systemconsensus formation
Nonconvex programming, global optimization (90C26) Asymptotic behavior of solutions to PDEs (35B40) Ordinary differential equations and systems with randomness (34F05)
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