Title :
A New Approach to Global Optimiation by an Adapted Diffusion
Author :
Poliannikov, O.V. ; Zhizhina, E. ; Krim, H.
Author_Institution :
Dept. of Math. Sci., Colorado Univ., Denver, CO, USA
Abstract :
In this paper, we study a problem of global optimization of an energy functional by a stochastic dynamics with a general diffusion coefficient. The main result is that adapting the diffusion coefficient to the shape of the functional enables the dynamics to escape wide local minima, and attracts it to narrower global minima that are missed by conventional diffusions. We discuss how to properly choose the diffusion coefficient and show numerically the superior performance of the resulting optimization algorithm.
Keywords :
filtering theory; optimisation; stochastic processes; adapted diffusion; filtering; global optimization; stochastic dynamics; Convergence; Energy measurement; Equations; Markov processes; Motion measurement; Optimization methods; Power engineering and energy; Shape; Simulated annealing; Stochastic processes; Markov processes; Optimization methods; diffusion equations;
Conference_Titel :
Acoustics, Speech and Signal Processing, 2007. ICASSP 2007. IEEE International Conference on
Conference_Location :
Honolulu, HI
Print_ISBN :
1-4244-0727-3
DOI :
10.1109/ICASSP.2007.367108
