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Posterior exploration based sequential Monte Carlo for global optimization

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  • Bin Liu

    (Nanjing University of Posts and Telecommunications
    Nanjing University of Posts and Telecommunications)

Abstract

We propose a global optimization algorithm based on the sequential Monte Carlo (SMC) sampling framework. In this framework, the objective function is normalized to be a probabilistic density function (pdf), based on which a sequence of annealed target pdfs is designed to asymptotically converge on the set of global optimum. A sequential importance sampling procedure is performed to simulate the resulting targets and the maxima of the objective function are assessed from the yielded samples. The disturbing issue lies in the design of the importance sampling (IS) pdf, which crucially influences the IS efficiency. We propose an approach to design the IS pdf by embedding a posterior exploration (PE) procedure into each iteration of the SMC framework. The PE procedure can explore the important regions of the solution space supported by the target pdf. A byproduct of the PE procedure is an adaptive mechanism to design the annealing temperature schedule. We compare the proposed algorithm with related existing methods using a dozen benchmark functions. The result demonstrates the appealing properties of our algorithm.

Suggested Citation

  • Bin Liu, 2017. "Posterior exploration based sequential Monte Carlo for global optimization," Journal of Global Optimization, Springer, vol. 69(4), pages 847-868, December.
    • Handle: RePEc:spr:jglopt:v:69:y:2017:i:4:d:10.1007_s10898-017-0543-8
    DOI: 10.1007/s10898-017-0543-8
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    References listed on IDEAS

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