Friday, May 7, 2021

Binary interaction methods for high dimensional global optimization and machine learning

Alessandro Benfenati, Giacomo Borghi, Lorenzo Pareschi (Applied Math. and Optim. 86(9):1-41, 2022. Preprint arXiv:2105.02695)

In this work we introduce a new class of gradient-free global optimization methods based on a binary interaction dynamics governed by a Boltzmann type equation. In each interaction the particles act taking into account both the best microscopic binary position and the best macroscopic collective position. In the mean-field limit we show that the resulting Fokker-Planck partial differential equations generalize the current class of consensus based optimization (CBO) methods. For the latter methods, convergence to the global minimizer can be shown for a large class of functions. Algorithmic implementations inspired by the well-known direct simulation Monte Carlo methods in kinetic theory are derived and discussed. Several examples on prototype test functions for global optimization are reported including applications to machine learning.