• Corpus ID: 242757787

Consensus-based Optimization and Ensemble Kalman Inversion for Global Optimization Problems with Constraints

  title={Consensus-based Optimization and Ensemble Kalman Inversion for Global Optimization Problems with Constraints},
  author={Jos{\'e} Antonio Carrillo and Claudia Totzeck and Urbain Vaes},
We introduce a practical method for incorporating equality and inequality constraints in global optimization methods based on stochastic interacting particle systems, specifically consensusbased optimization (CBO) and ensemble Kalman inversion (EKI). Unlike other approaches in the literature, the method we propose does not constrain the dynamics to the feasible region of the state space at all times; the particles evolve in the full space, but are attracted towards the feasible set by means of… 

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