An interacting particle consensus method for constrained global optimization
Presenter
May 10, 2024
Abstract
This talk addresses the global minimization problems with equality constraints, particularly in cases where the loss function exhibits non-differentiability or non-convexity. The proposed method combines components from consensus-based optimization algorithm with a newly introduced forcing term directed at the constraint set. A rigorous mean-field limit of the particle system has been derived, the convergence of the mean-field limit to the constrained minimizer has been established. Additionally, we introduce a stable discretized algorithm and conduct various numerical experiments to illustrate the performance of the proposed method.