Trends in Consensus-based optimization

DOI10.1007/978-3-030-93302-9_6MaRDI QIDQ6364467arXivFDO

Authors Claudia Totzeck

Publication date 3 April 2021

Published in arXiv

Full work available at URL https://doi.org/10.1007/978-3-030-93302-9_6

Mathematics Subject Classification ID

Multi-agent systems (93A16) Consensus (93D50) Stochastic systems in control theory (general) (93E03)

arXiv classification

math.OC

Abstract: In this chapter we give an overview of the consensus-based global optimization algorithm and its recent variants. We recall the formulation and analytical results of the original model, then we discuss variants using component-wise independent or common noise. In combination with mini-batch approaches those variants were tailored for machine learning applications. Moreover, it turns out that the analytical estimates are dimension independent, which is useful for high-dimensional problems. We discuss the relationship of consensus-based optimization with particle swarm optimization, a method widely used in the engineering community. Then we survey a variant of consensus-based optimization that is proposed for global optimization problems constrained to hyper-surfaces. We conclude the chapter with remarks on applications, preprints and open problems.

Cited in

(1)

• From Consensus-Based Optimization to Particle Swarm Optimization: Convergence Guarantees under Drift-Diffusion Coupling

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