Consensus-based Optimization Research Articles

Self-interacting CBO: Existence, uniqueness, and long-time convergence

A self-interacting dynamics that mimics the standard Consensus-Based Optimization (CBO) model is introduced. This single-particle dynamics is shown to converge to a unique invariant measure that approximates the global minimum of a given function. As an application, its connection to CBO with Personal Best introduced by C. Totzeck and M.-T. Wolfram (Math. Biosci. Eng., 2020) has been established.

Consensus-Based Optimization Methods Converge Globally

Consensus-Based Optimization Methods Converge Globally

Polarized consensus-based dynamics for optimization and sampling

AbstractIn this paper we propose polarized consensus-based dynamics in order to make consensus-based optimization (CBO) and sampling (CBS) applicable for objective functions with several global minima or distributions with many modes, respectively. For this, we “polarize” the dynamics with a localizing kernel and the resulting model can be viewed as a bounded confidence model for opinion formation in the presence of common objective. Instead of being attracted to a common weighted mean as in the original consensus-based methods, which prevents the detection of more than one minimum or mode, in our method every particle is attracted to a weighted mean which gives more weight to nearby particles. We prove that in the mean-field regime the polarized CBS dynamics are unbiased for Gaussian targets. We also prove that in the zero temperature limit and for sufficiently well-behaved strongly convex objectives the solution of the Fokker–Planck equation converges in the Wasserstein-2 distance to a Dirac measure at the minimizer. Finally, we propose a computationally more efficient generalization which works with a predefined number of clusters and improves upon our polarized baseline method for high-dimensional optimization.

Consensus-Based Optimization for Saddle Point Problems

Consensus-Based Optimization for Saddle Point Problems

Time-discrete momentum consensus-based optimization algorithm and its application to Lyapunov function approximation

In this paper, we study a discrete momentum consensus-based optimization (Momentum-CBO) algorithm which corresponds to a second-order generalization of the discrete first-order CBO [S.-Y. Ha, S. Jin and D. Kim, Convergence of a first-order consensus-based global optimization algorithm, Math. Models Methods Appl. Sci. 30 (2020) 2417–2444]. The proposed algorithm can be understood as the modification of ADAM-CBO, replacing the normalization term by unity. For the proposed Momentum-CBO, we provide a sufficient framework which guarantees the convergence of algorithm toward a global minimum of the objective function. Moreover, we present several experimental results showing that Momentum-CBO has an improved success rate of finding the global minimum compared to vanilla-CBO and show the stability of Momentum-CBO under different initialization schemes. We also show that Momentum-CBO can be used as the alternative of ADAM-CBO which does not have a proper convergence analysis. Finally, we give an application of Momentum-CBO for Lyapunov function approximation using symbolic regression techniques.

Consensus-based optimization for multi-objective problems: a multi-swarm approach

We propose a multi-swarm approach to approximate the Pareto front of general multi-objective optimization problems that is based on the consensus-based optimization method (CBO). The algorithm is motivated step by step beginning with a simple extension of CBO based on fixed scalarization weights. To overcome the issue of choosing the weights we propose an adaptive weight strategy in the second modeling step. The modeling process is concluded with the incorporation of a penalty strategy that avoids clusters along the Pareto front and a diffusion term that prevents collapsing swarms. Altogether the proposed K-swarm CBO algorithm is tailored for a diverse approximation of the Pareto front and, simultaneously, the efficient set of general non-convex multi-objective problems. The feasibility of the approach is justified by analytic results, including convergence proofs, and a performance comparison to the well-known non-dominated sorting genetic algorithms NSGA2 and NSGA3 as well as the recently proposed one-swarm approach for multi-objective problems involving consensus-based optimization.

Model predictive control strategies using consensus-based optimization

Model predictive control strategies using consensus-based optimization

Consensus based optimization with memory effects: Random selection and applications

In this work we extend the class of Consensus-Based Optimization (CBO) metaheuristic methods by considering memory effects and a random selection strategy. The proposed algorithm iteratively updates a population of particles according to a consensus dynamics inspired by social interactions among individuals. The consensus point is computed taking into account the past positions of all particles. While sharing features with the popular Particle Swarm Optimization (PSO) method, the exploratory behavior is fundamentally different and allows better control over the convergence of the particle system. We discuss some implementation aspects which lead to increased efficiency while preserving the success rate in the optimization process. In particular, we show how employing a random selection strategy to discard particles during the computation improves the overall performance. Several benchmark problems and applications to image segmentation and Neural Networks training are used to validate and test the proposed method. A theoretical analysis allows to recover convergence guarantees under mild assumptions on the objective function. This is done by first approximating the evolution of the particles with a continuous-in-time dynamics, and then by taking the mean-field limit of such dynamics. Convergence to a global minimizer is finally proved at the mean-field level.

An adaptive finite-time neurodynamic approach to distributed consensus-based optimization problem

An adaptive finite-time neurodynamic approach to distributed consensus-based optimization problem

Consensus-based optimization via jump-diffusion stochastic differential equations

We introduce a new consensus-based optimization (CBO) method where an interacting particle system is driven by jump-diffusion stochastic differential equations (SDEs). We study well-posedness of the particle system as well as of its mean-field limit. The major contributions of this paper are proofs of convergence of the interacting particle system towards the mean-field limit and convergence of a discretized particle system towards the continuous-time dynamics in the mean-square sense. We also prove convergence of the mean-field jump-diffusion SDEs towards global minimizer for a large class of objective functions. We demonstrate improved performance of the proposed CBO method over earlier CBO methods in numerical simulations on benchmark objective functions.

Constrained Consensus-Based Optimization

In this work we are interested in the construction of numerical methods for high-dimensional constrained nonlinear optimization problems by particle-based gradient-free techniques. A consensus-based optimization (CBO) approach combined with suitable penalization techniques is introduced for this purpose. The method relies on a reformulation of the constrained minimization problem in an unconstrained problem for a penalty function and extends to the constrained settings of the class of CBO methods. Exact penalization is employed and, since the optimal penalty parameter is unknown, an iterative strategy is proposed that successively updates the parameter based on the constrained violation. Using a mean-field description of the many particle limit of the arising CBO dynamics, we are able to show convergence of the proposed method to the minimum for general nonlinear constrained problems. Properties of the new algorithm are analyzed. Several numerical examples, also in high dimensions, illustrate the theoretical findings and the good performance of the new numerical method.

Consensus-based Optimization in Multiplex Networks⋆

Multilayer networks are systems formed by several interacting networks. This framework generalizes the single-layer network scheme, developing a scenario where most real and engineering systems can be explored in a deeper and more accurately manner. Despite the wide set of results in distributed optimization in single-layer networks, there is a lack of developments in multilayer systems. In this paper, using the role of the supra-Laplacian matrix of a multiplex network and its diffusion dynamics, we develop a distributed primal-dual saddle-point algorithm, and a gradient descent algorithm for distributed optimization problems. Taking advantage of the relation between the consensus and diffusion dynamics via the graph Laplacian, we establish a set of saddle-point equations driven by the multiplex supra-Laplacian matrix, obtained by imposing an analogous to the traditional Laplacian restriction in our multiplex distributed optimization problem. This extension is performed to the distributed gradient descent algorithm for multiplex networks. Two theorems are proposed to study the convergence analysis for both methods, where it is demonstrated that both flows converge to the unique optimizer. We present numerical examples showing the validation of our results.

Linguistic Single-Valued Neutrosophic Multi-Criteria Group Decision Making Based on Personalized Individual Semantics and Consensus

In practical linguistic multi-criteria group decision-making (MCGDM) problems, words may indicate different meanings for various decision makers (DMs), and a high level of group consensus indicates that most of the group members are satisfied with the final solution. This study aims at developing a novel framework that considers the personalized individual semantics (PISs) and group consensus of DMs to tackle linguistic single-valued neutrosophic MCGDM problems. First, a novel discrimination measure for linguistic single-valued neutrosophic numbers (LSVNNs) is proposed, based on which a discrimination-based optimization model is built to assign personalized numerical scales (PNSs). Second, an extended consensus-based optimization model is constructed to identify the weights of DMs considering the group consensus. Then, the overall evaluations of all the alternatives are obtained based on the LSVNN aggregation operator to identify the ranking of alternatives. Finally, the results of the illustrative example, sensitivity and comparative analysis are presented to verify the feasibility and effectiveness of the proposed method.

Anisotropic Diffusion in Consensus-Based Optimization on the Sphere

In this paper we are concerned with the global minimization of a possibly non-smooth and non-convex objective function constrained on the unit hypersphere by means of a multi-agent derivative-free method. The proposed algorithm falls into the class of the recently introduced Consensus-Based Optimization. In fact, agents move on the sphere driven by a drift towards an instantaneous consensus point, which is computed as a convex combination of agent locations, weighted by the cost function according to Laplaces principle, and it represents an approximation to a global minimizer. The dynamics is further perturbed by an anisotropic random vector field to favor exploration. The main results of this paper are about the proof of convergence of the numerical scheme to global minimizers provided conditions of well-preparation of the initial datum. The proof of convergence combines a mean-field limit result with a novel asymptotic analysis, and classical convergence results of numerical methods for SDE. The main innovation with respect to previous work is the introduction of an anisotropic stochastic term, which allows us to ensure the independence of the parameters of the algorithm from the dimension and to scale the method to work in very high dimension. We present several numerical experiments, which show that the algorithm proposed in the present paper is extremely versatile and outperforms previous formulations with isotropic stochastic noise.

Binary Interaction Methods for High Dimensional Global Optimization and Machine Learning

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. For the resulting kinetic optimization methods, convergence to the global minimizer is guaranteed for a large class of functions under appropriate parameter constraints that do not depend on the dimension of the problem. 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. 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 an application to machine learning.

Convergence analysis of the discrete consensus-based optimization algorithm with random batch interactions and heterogeneous noises

We present stochastic consensus and convergence of the discrete consensus-based optimization (CBO) algorithm with random batch interactions and heterogeneous external noises. Despite the wide applications and successful performance in many practical simulations, the convergence of the discrete CBO algorithm was not rigorously investigated in such a generality. In this work, we introduce a generalized discrete CBO algorithm with a weighted representative point and random batch interactions, and show that the proposed discrete CBO algorithm exhibits stochastic consensus and convergence toward the common equilibrium state exponentially fast under suitable assumptions on system parameters. For this, we recast the given CBO algorithm with random batch interactions as a discrete consensus model with a random switching network topology, and then we use the mixing property of interactions over sufficiently long time interval to derive stochastic consensus and convergence estimates in mean square and almost sure senses. Our proposed analysis significantly improves earlier works on the convergence analysis of CBO models with full batch interactions and homogeneous external noises.

Zero-Inertia Limit: From Particle Swarm Optimization to Consensus-Based Optimization

Recently a continuous description of particle swarm optimization (PSO) based on a system of stochastic differential equations was proposed by Grassi and Pareschi in [Math. Models Methods Appl. Sci., 31 (2021), pp. 1625--1657] where the authors formally showed the link between PSO and the consensus-based optimization (CBO) through the zero-inertia limit. This paper is devoted to solving this theoretical open problem proposed in [S. Grassi and L. Pareschi, Math. Methods Appl. Sci., 31 (2021), pp. 1625--1657] by providing a rigorous derivation of CBO from PSO through the limit of zero inertia, and a quantified convergence rate is obtained as well. The proofs are based on a probabilistic approach by investigating both the weak and strong convergence of the corresponding stochastic differential equations of Mckean type in the continuous path space and the results are illustrated with some numerical examples.

On the mean‐field limit for the consensus‐based optimization

This paper is concerned with the large particle limit for the consensus‐based optimization (CBO), which was postulated in the pioneering works by Carrillo, Pinnau, Totzeck and many others. In order to solve this open problem, we adapt a compactness argument by first proving the tightness of the empirical measures associated to the particle system and then verifying that the time marginal of the limit measure is the unique weak solution to the mean‐field CBO equation. Such results are further extended to the model of particle swarm optimization (PSO).

Stochastic consensus dynamics for nonconvex optimization on the Stiefel manifold: Mean-field limit and convergence

We study a consensus-based method for minimizing a nonconvex function over the Stiefel manifold. The consensus dynamics consists of stochastic differential equations for interacting particle system, whose trajectory is guaranteed to stay on the Stiefel manifold. For the proposed model, we prove the mean-field limit of the stochastic system toward a nonlinear Fokker–Planck equation on the Stiefel manifold. Moreover, we provide a sufficient condition on the parameter and the initial data, so that the solution to the Fokker–Planck equation is asymptotically concentrated on the point near a global optimizer. To implement our consensus-based optimization (CBO) algorithm, we provide two algorithms; one is improved from the algorithm suggested in our previous work, and the other is based on an entirely different approach, namely the Cayley transformation. We validate the CBO algorithms on the various test problems on the Stiefel manifold.

Consensus-Based Optimization for 3D Human Pose Estimation in Camera Coordinates

3D human pose estimation is frequently seen as the task of estimating 3D poses relative to the root body joint. Alternatively, we propose a 3D human pose estimation method in camera coordinates, which allows effective combination of 2D annotated data and 3D poses and a straightforward multi-view generalization. To that end, we cast the problem as a view frustum space pose estimation, where absolute depth prediction and joint relative depth estimations are disentangled. Final 3D predictions are obtained in camera coordinates by the inverse camera projection. Based on this, we also present a consensus-based optimization algorithm for multi-view predictions from uncalibrated images, which requires a single monocular training procedure. Although our method is indirectly tied to the training camera intrinsics, it still converges for cameras with different intrinsic parameters, resulting in coherent estimations up to a scale factor. Our method improves the state of the art on well known 3D human pose datasets, reducing the prediction error by 32% in the most common benchmark. We also reported our results in absolute pose position error, achieving 80 mm for monocular estimations and 51 mm for multi-view, on average. Source code is available at https://github.com/dluvizon/3d-pose-consensus .