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H.B. Keller Colloquium

Monday, April 22, 2024
4:00pm to 5:00pm
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Annenberg 105
Stochastic particle systems for global optimization: a journey from metaheuristics to PDEs
Lorenzo Pareschi, Professor, Chair of Applied and Computational Mathematics, School of Mathematics, Heriot-Watt University,

Optimization methods based on stochastic particle systems have a long history and play a pivotal role today in many applications, ranging from machine learning to optimal control. Many of these methods rely on metaheuristic algorithms, which often lack a rigorous mathematical foundation. Recently, the use of tools inspired by statistical physics has allowed for the description of these gradient-free algorithms from the perspective of kinetic and mean-field PDEs, which enable convergence guarantees to the global minimum under mild assumptions on the objective function. In this talk, we will illustrate these ideas using some of the most popular algorithms, such as particle swarm optimization, simulated annealing, and genetic algorithms.

For more information, please contact Sumaia Abedin by phone at 6263956704 or by email at [email protected] or visit