Weak convergence of particle swarm optimization

Vianney Bruned , André Mas (1) , Sylvain Wlodarczyk

1 IMAG - Institut Montpelliérain Alexander Grothendieck

Particle swarm optimization algorithm is a stochastic meta-heuristic solving global optimization problems appreciated for its efficacity and simplicity. It consists in a swarm of particles interacting among themselves and searching the global optimum. The trajectory of the particles has been well-studied in a deterministic case and more recently in a stochastic context. Assuming the convergence of PSO, we proposed here two CLT for the particles corresponding to two kinds of convergence behavior. These results can lead to build confidence intervals around the local minimum found by the swarm or to the evaluation of the risk. A simulation study confirms these properties.

Mots clés: Particle swarm optimization; Convergence; Central limit theorem; · Convergence; · Central limit theorem

Domaines: Mathématiques [math]

Vianney Bruned, André Mas, Sylvain Wlodarczyk. Weak convergence of particle swarm optimization. 2019. ⟨hal-01918943v2⟩