Particle Algorithms for Optimization on Binary Spaces

Authors:
Christian Schäfer
Affiliations:
CREST and Université Paris Dauphine
Venue:
ACM Transactions on Modeling and Computer Simulation (TOMACS) - Special Issue on Monte Carlo Methods in Statistics
Year:
2013

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Abstract

We discuss a unified approach to stochastic optimization of pseudo-Boolean objective functions based on particle methods, including the cross-entropy method and simulated annealing as special cases. We point out the need for auxiliary sampling distributions, meaning parametric families on binary spaces, which are able to reproduce complex dependency structures, and illustrate their usefulness in our numerical experiments. We provide numerical evidence that particle-driven optimization algorithms based on parametric families yield superior results on strongly multimodal optimization problems while local search heuristics outperform them on easier problems.