Diffusion based interacting particle system for optimization
Publicerad
Författare
Typ
Examensarbete för masterexamen
Master's Thesis
Master's Thesis
Modellbyggare
Tidskriftstitel
ISSN
Volymtitel
Utgivare
Sammanfattning
The ability to minimize a function is crucial across various fields, from training
neural networks by minimizing loss functions to reducing costs in production lines.
This minimization is typically achieved using optimization algorithms where the
choice of algorithm impacts both the overall result and the computational cost. In
this thesis, we propose new optimization algorithms based upon particle interactions
driven by stochastic differential equations (SDEs). Specifically, we aim to adapt first
and second-order ensemble Langevin sampling methods to use as optimization algorithms.
Additionally, we explore a variant of consensus-based optimization (CBO)
that incorporates repulsive forces. Our results demonstrate the effectiveness of the
sampling methods with annealing as optimizers and highlight the benefits of repulsion
for CBO. Furthermore, we test ensemble Langevin dynamics as an optimizer for
training neural networks. We approximate gradient using Kalman approximation
that allows for training without the need for back-propagation. The results indicate
performance similar to stochastic gradient descent (SGD).
Beskrivning
Ämne/nyckelord
Optimization, Interacting particle system, Consensus-based optimization, Ensemble Langevin dynamics.