DocumentCode
464053
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
Volume
3
fYear
2007
fDate
15-20 April 2007
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Acoustics, Speech and Signal Processing, 2007. ICASSP 2007. IEEE International Conference on
Conference_Location
Honolulu, HI
ISSN
1520-6149
Print_ISBN
1-4244-0727-3
Type
conf
DOI
10.1109/ICASSP.2007.367108
Filename
4217981
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