An analytical framework for consensus-based global optimization method
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Publication:4569644
global optimizationagent-based modelsmean-field limitopinion dynamicsstochastic dynamicsconsensus formation
Approximation methods and heuristics in mathematical programming (90C59) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stochastic programming (90C15) Dynamical systems in optimization and economics (37N40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fokker-Planck equations (35Q84) PDEs in connection with control and optimization (35Q93) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Heterogeneous agent models (91B69)
Abstract: In this paper we provide an analytical framework for investigating the efficiency of a consensus-based model for tackling global optimization problems. This work justifies the optimization algorithm in the mean-field sense showing the convergence to the global minimizer for a large class of functions. Theoretical results on consensus estimates are then illustrated by numerical simulations where variants of the method including nonlinear diffusion are introduced.
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