Consensus-Based Optimization for Saddle Point Problems
MCML Authors
Konstantin Riedl
Dr.
* Former Member
Abstract
Konstantin Riedl
Dr.
* Former Member
Abstract
In this paper, we propose consensus-based optimization for saddle point problems (CBO-SP), a novel multi-particle metaheuristic derivative-free optimization method capable of provably finding global Nash equilibria. Following the idea of swarm intelligence, the method employs two groups of interacting particles, one which performs a minimization over one variable while the other performs a maximization over the other variable. The two groups constantly exchange information through a suitably weighted average. This paradigm permits a passage to the mean-field limit, which makes the method amenable to theoretical analysis, and it allows to obtain rigorous convergence guarantees under reasonable assumptions about the initialization and the objective function, which most notably include nonconvex-nonconcave objectives. We further provide numerical evidence for the success of the algorithm.
article HQR24
SIAM Journal on Control and Optimization
62.2. Feb. 2024.
Authors
H. Huang • J. Q. Contact • K. RiedlLinks
DOIResearch Area
BibTeXKey: HQR24