Consensus-based global optimization with personal best

Abstract

In this paper we propose a variant of a consensus-based global optimization (CBO) method that uses personal best information in order to compute the global minimum of a non-convex, locally Lipschitz continuous function. The proposed approach is motivated by the original particle swarming algorithms, in which particles adjust their position with respect to the personal best, the current global best, and some additive noise. The personal best information along an individual trajectory is included with the help of a weighted mean. This weighted mean can be computed very efficiently due to its ac-cumulative structure. It enters the dynamics via an additional drift term. We illustrate the performance with a toy example, analyze the respective memory-dependent stochastic system and compare the per-formance with the original CBO with component-wise noise for several benchmark problems. The proposed method has a higher success rate for computational experiments with a small particle number and where the initial particle distribution is disadvantageous with respect to the global minimum.

Keywords

• global optimization
• interacting particle systems
• consensus formation
• stochastic differential equations
• personal best information
• non-convex optimization