Dense conjugate initialization for deterministic PSO in applications: ORTHOinit+

Abstract

This paper describes a class of novel initializations in Deterministic Particle Swarm Optimization (DPSO) for approximately solving costly unconstrained global optimization problems. The initializations are based on choosing specific dense initial positions and velocities for particles. These choices tend to induce in some sense orthogonality of particles’ trajectories, in the early iterations, in order to better explore the search space. Our proposal is inspired by both a theoretical analysis on a reformulation of PSO iteration, and by possible limits of the proposals reported in Campana et al. (2010); Campana et al. (2013). We explicitly show that, in comparison with other initializations from the literature, our initializations tend to scatter PSO particles, at least in the first iterations. The latter goal is obtained by imposing that the initial choice of particles’ position/velocity satisfies specific conjugacy conditions, with respect to a matrix depending on the parameters of PSO. In particular, by an appropriate condition on particles’ velocities, our initializations also resemble and partially extend a general paradigm in the literature of exact methods for derivative-free optimization. Moreover, we propose dense initializations for DPSO, so that the final approximate global solution obtained is possibly not too sparse, which might cause troubles in some applications. Numerical results, on both Portfolio Selection and Computational Fluid Dynamics problems, validate our theory and prove the effectiveness of our proposal, which applies also in case different neighborhood topologies are adopted in DPSO.